Testing Parameter Change in General Integer‐Valued Time Series

DOI10.1111/JTSA.12240zbMATH Open1386.60132arXiv1602.08654OpenAlexW2963777128MaRDI QIDQ4596428FDOQ4596428

Authors: Mamadou Lamine Diop, William Charky Kengne 

Publication date: 1 December 2017

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

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.

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

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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)

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