Robust parameter change test for Poisson autoregressive models
From MaRDI portal
Publication:491688
DOI10.1016/j.spl.2015.04.027zbMath1356.62142OpenAlexW229413884MaRDI QIDQ491688
Publication date: 19 August 2015
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2015.04.027
outliersPoisson autoregressive modelrobust testminimum density power divergence estimatortest for parameter change
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Non-Markovian processes: hypothesis testing (62M07)
Related Items
A robust approach for testing parameter change in Poisson autoregressive models, Recent progress in parameter change test for integer-valued time series models, Test for parameter change in the presence of outliers: the density power divergence-based approach, A general procedure for change-point detection in multivariate time series, Sequential change point test in the presence of outliers: the density power divergence based approach, SPC methods for time-dependent processes of counts—A literature review
Cites Work
- Unnamed Item
- Unnamed Item
- On weak dependence conditions for Poisson autoregressions
- Absolute regularity and ergodicity of Poisson count processes
- Minimum density power divergence estimator for Poisson autoregressive models
- Parameter Change Test for Poisson Autoregressive Models
- Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis
- Integer-Valued GARCH Process
- Robust and efficient estimation by minimising a density power divergence
- The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
- Interventions in log-linear Poisson autoregression
- Interventions in INGARCH processes