Testing Parameter Change in General Integer‐Valued Time Series

DOI10.1111/JTSA.12240MaRDI QIDQ4596428zbMATH OpenOpenAlexFDO

Authors Mamadou Lamine Diop, William Charky Kengne

Publication date 1 December 2017

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.08654

zbMATH Keywords

change point detectionexponential familymaximum likelihood estimatorautoregressive modelsdiscrete-valued time series

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Stationary stochastic processes (60G10)

Abstract: We consider the structural change in a class of discrete valued time series that the conditional distribution follows a one-parameter exponential family. We propose a change-point test based on the maximum likelihood estimator of the parameter of the model. Under the null hypothesis (of no change), the test statistics converges to a well known distribution, allowing for the calculation of the critical values of the test. The test statistic diverges to infinity under the alternative, that is, the test asymptotically has power one. Some simulation results and real data applications are reported to show the applicability of the test procedure.

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Cited in

(17)

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• Change detection in INARCH time series of counts
• Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models
• Recent progress in parameter change test for integer-valued time series models
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• Robust estimation for general integer-valued time series models
• CUSUM test for general nonlinear integer-valued GARCH models: comparison study
• \( \mathbb{Z} \)-valued time series: models, properties and comparison
• Residual-based CUSUM of squares test for Poisson integer-valued GARCH models
• Inference for nonstationary time series of counts with application to change-point problems
• Test of parameter changes in a class of observation-driven models for count time series
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