Change detection in INARCH time series of counts

DOI10.1007/978-3-319-41582-6_4MaRDI QIDQ5280076zbMATH OpenOpenAlexFDO

Authors Šárka Hudecová, Marie Hušková, Simos G. Meintanis

Publication date 20 July 2017

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-41582-6_4

zbMATH Keywords

empirical probability generating functioninteger ARCH modelssequential monitoringtime series of counts

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Sequential statistical analysis (62L10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Detection of changes in INAR models
• Test of parameter changes in a class of observation-driven models for count time series
• Tests for structural changes in time series of counts
• Changepoints in times series of counts
• Testing Parameter Change in General Integer‐Valued Time Series

Cites work

• A class of count models and a new consistent test for the Poisson distribution
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• Bootstrapping Sequential Change-Point Tests
• Bootstrapping sequential change-point tests for linear regression
• Changepoints in times series of counts
• Change‐point monitoring in linear models
• Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion
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• Delay time in sequential detection of change
• Extensions of some classical methods in change point analysis
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 1562935 (Why is no real title available?)
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• Testing for the bivariate Poisson distribution
• Tests for time series of counts based on the probability-generating function
• Validation tests for the innovation distribution in INAR time series models
• Weak dependence. With examples and applications.

Cited in

(9)

• Recent progress in parameter change test for integer-valued time series models
• CUSUM test for general nonlinear integer-valued GARCH models: comparison study
• Detection of changes in INAR models
• Estimating monotonic change in the rate and dependence parameters of INAR(1) process (case study: IP counts data)
• Change detection in \(\mathrm{INAR}(p)\) processes against various alternative hypotheses
• Test of parameter changes in a class of observation-driven models for count time series
• Residual-based CUSUM of squares test for Poisson integer-valued GARCH models
• Interventions in INGARCH processes
• Changepoints in times series of counts

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