Change detection in INAR(p) processes against various alternative hypotheses

DOI10.1080/03610926.2012.732181MaRDI QIDQ4929196zbMATH OpenOpenAlexFDO

Authors Gyula Pap, Tamás T. Szabó

Publication date 13 June 2013

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1111.2532

zbMATH Keywords

change detectionconditional least squares estimationCUSUM processmartingale difference sequencestable \(\mathrm{INAR}(p)\) process

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Markov processes: hypothesis testing (62M02)

Abstract: Change in the coefficients or in the mean of the innovation distribution of an INAR(p) process is a sign of disturbance that is important to detect. The methods of this paper can test for change in any one of these quantities separately, or in any collection of them. They are available in forms that make one-sided tests possible, furthermore, they can be used to test for a temporary change. The tests are based on a CUSUM process using conditional least squares estimators of the parameters. Under alternative hypotheses consistency of the tests is proved and the large sample properties of the change-point estimator are also explored.

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Cited in

(13)

• \(M\)-procedures for detection of a change under weak dependence
• Inference for mean change-point in infinite variance \(AR(p)\) process
• Epidemic change tests for the mean of innovations of an AR(1) process
• Detection of changes in INAR models
• Change-point detection in binomial thinning processes, with applications in epidemiology
• Change detection in the Cox-Ingersoll-Ross model
• Monitoring mean shift in INAR(1)s processes based on CLSE-CUSUM procedure
• Estimating monotonic change in the rate and dependence parameters of INAR(1) process (case study: IP counts data)
• On residual CUSUM statistic for PINAR(1) model in statistical design and diagnostic of control chart
• Integer autoregressive models with structural breaks
• An empirical-likelihood-based structural-change test for INAR processes
• Change-point analysis for binomial autoregressive model with application to price stability counts
• Ergodic properties of subcritical multitype Galton-Watson processes with immigration

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