Test of parameter changes in a class of observation-driven models for count time series

DOI10.1080/03610926.2019.1565843OpenAlexW2911451602WikidataQ128492693 ScholiaQ128492693MaRDI QIDQ5077400

Rongning Wu, Yunwei Cui

Publication date: 18 May 2022

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

Full work available at URL: https://doi.org/10.1080/03610926.2019.1565843

zbMATH Keywords

nonlinear modelstime series of countsdiagnostic testschange-point detectionnegative binomial INGARCH model

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items

Generalized Poisson integer-valued autoregressive processes with structural changes

Cites Work

• Unnamed Item
• Unnamed Item
• Retrospective change detection for binary time series models
• Structural changes in autoregressive models for binary time series
• Inference and testing for structural change in general Poisson autoregressive models
• Conditional maximum likelihood estimation for a class of observation-driven time series models for count data
• Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models
• Zero-inflated Poisson and negative binomial integer-valued GARCH models
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach
• M-estimation for autoregression with infinite variance
• GARCH processes: structure and estimation
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• On the use of estimating functions in monitoring time series for change points
• Poisson QMLE of Count Time Series Models
• Theory and inference for a class of nonlinear models with application to time series of counts
• Detection of Changes in INAR Models
• Structural breaks in time series
• Parameter Change Test for Poisson Autoregressive Models
• QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS
• Poisson Autoregression
• Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis
• A negative binomial model for time series of counts
• Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning
• Integer-Valued GARCH Process
• A regression model for time series of counts
• On autocorrelation in a Poisson regression model
• Testing Parameter Change in General Integer‐Valued Time Series
• Threshold negative binomial autoregressive model
• Limit theorems for iterated random functions
• The Cusum Test for Parameter Change in Time Series Models
• Self-Excited Threshold Poisson Autoregression
• A negative binomial integer-valued GARCH model
• Changepoints in the North Atlantic Tropical Cyclone Record
• Interventions in INGARCH processes
• Changepoints in times series of counts
• Predictive Model Assessment for Count Data
• Conditional maximum likelihood estimation in negative binomial INGARCH processes with known number of successes when the true parameter is at the boundary of the parameter space