Inference and testing for structural change in general Poisson autoregressive models

DOI10.1214/15-EJS1038zbMATH Open1349.62397arXiv1305.1751MaRDI QIDQ491391FDOQ491391

Authors: Paul Doukhan, William Charky Kengne 

Publication date: 25 August 2015

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: We consider here together the inference questions and the change-point problem in Poisson autoregressions (see Tj{o}stheim, 2012). The conditional mean (or intensity) of the process is involved as a non-linear function of it past values and the past observations. Under Lipschitz-type conditions, it is shown that the conditional mean can be written as a function of lagged observations. In the latter model, assume that the link function depends on an unknown parameter $het{a}_0$. The consistency and the asymptotic normality of the maximum likelihood estimator of the parameter are proved. These results are used to study change-point problem in the parameter $het{a}_0$. We propose two tests based on the likelihood of the observations. Under the null hypothesis (i.e. no change), it is proved that both those test statistics converge to an explicit distribution. Consistencies under alternatives are proved for both tests. Simulation results show how those procedure work practically, and an application to real data is also processed.

Full work available at URL: https://arxiv.org/abs/1305.1751

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zbMATH Keywords

asymptotic normalitylimit distributionconsistencytime seriesmaximum likelihood estimatorchange-pointPoisson autoregressionsemiparametric test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Central limit and other weak theorems (60F05)

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Cited In (26)

• A general procedure for change-point detection in multivariate time series
• Consistent model selection procedure for general integer-valued time series
• Piecewise autoregression for general integer-valued time series
• Test for Conditional Variance of Integer-Valued Time Series
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• ON EXACT INFERENCE FOR CHANGE IN A POISSON SEQUENCE
• Epidemic change-point detection in general integer-valued time series
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• Tests for structural changes in time series of counts
• Robust estimation for general integer-valued time series models
• An empirical-likelihood-based structural-change test for INAR processes
• Conditional heteroscedasticity test for Poisson autoregressive model
• Analysis of Poisson varying-coefficient models with autoregression
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• Mixtures of nonlinear Poisson autoregressions
• Score test for parameter change in Poisson autoregressive models
• Parameter Change Test for Poisson Autoregressive Models
• Stationarity test for Poisson autoregressive model
• Sequential change-point detection in Poisson autoregressive models
• Test of parameter changes in a class of observation-driven models for count time series
• Parameter change test for zero-inflated generalized Poisson autoregressive models
• Inference for nonstationary time series of counts with application to change-point problems
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