Residual-based CUSUM of squares test for Poisson integer-valued GARCH models

DOI10.1080/00949655.2019.1657865OpenAlexW2969526072WikidataQ127345443 ScholiaQ127345443MaRDI QIDQ5107516FDOQ5107516

Authors: Sangyeol Lee 

Publication date: 27 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2019.1657865

zbMATH Keywords

time series of countsparameter change testinteger-valued GARCH modelsresidual-based CUSUM of squares test

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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Cited In (7)

• A residual-based test for multivariate GARCH models using transformed quadratic residuals
• On score vector- and residual-based CUSUM tests in ARMA-GARCH models
• Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models
• Recent progress in parameter change test for integer-valued time series models
• Multiple values-inflated time series of counts: modeling and inference based on INGARCH scheme
• Title not available (Why is that?)
• Exponential family QMLE-based CUSUM test for integer-valued time series

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