Tests for time series of counts based on the probability-generating function

DOI10.1080/02331888.2014.979826zbMATH Open1369.62229arXiv1410.6172OpenAlexW2062896399MaRDI QIDQ5263982FDOQ5263982

Authors: Šárka Hudecová, Marie Hušková, Simos G. Meintanis 

Publication date: 20 July 2015

Published in: Statistics (Search for Journal in Brave)

Abstract: We propose testing procedures for the hypothesis that a given set of discrete observations may be formulated as a particular time series of counts with a specific conditional law. The new test statistics incorporate the empirical probability generating function computed from the observations. Special emphasis is given to the popular models of integer autoregression and Poisson autoregression. The asymptotic properties of the proposed test statistics are studied under the null hypothesis as well as under alternatives. A Monte Carlo power study on bootstrap versions of the new methods is included as well as real-data examples.

Full work available at URL: https://arxiv.org/abs/1410.6172

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zbMATH Keywords

goodness-of-fit testPoisson autoregressionINAR modelempirical probability-generating function

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (16)

• Test for Conditional Variance of Integer-Valued Time Series
• Novel goodness-of-fit tests for binomial count time series
• The total time on test plot and the cumulative total time on test statistic for a counting process
• Score statistics for testing serial dependence in count data
• Recent progress in parameter change test for integer-valued time series models
• Testing for an excessive number of zeros in time series of bounded counts
• A Goodness‐of‐Fit Test for Integer‐Valued Autoregressive Processes
• An empirical-likelihood-based structural-change test for INAR processes
• Integer-valued AR processes with Hermite innovations and time-varying parameters: An application to bovine fallen stock surveillance at a local scale
• Testing for serial dependence in time series models of counts
• Goodness-of-fit testing of a count time series' marginal distribution
• Portmanteau tests for generalized integer-valued autoregressive time series models. Portmanteau tests for GINAR models
• Sequential probability ratio test for zero inflation in counting data
• Thinning-based models in the analysis of integer-valued time series: a review
• Monitoring procedures for strict stationarity based on the multivariate characteristic function
• Change Detection in INARCH Time Series of Counts

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