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

time series of countsempirical probability generating functionsequential monitoringinteger ARCH models

Mathematics Subject Classification ID

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

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

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 1562935 (Why is no real title available?)
• A class of count models and a new consistent test for the Poisson distribution
• A goodness of fit test for the Poisson distribution based on the empirical generating function
• A goodness-of-fit test for integer-valued autoregressive processes
• A negative binomial integer-valued GARCH model
• A new weak dependence condition and applications to moment inequalities
• A test of fit for lattice distributions
• Bootstrap procedures for online monitoring of changes in autoregressive models
• 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
• Decoupling change-point detection based on characteristic functions: methodology, asymptotics, subsampling and application
• Delay time in sequential detection of change
• Extensions of some classical methods in change point analysis
• Integer-Valued GARCH Process
• Interventions in INGARCH processes
• Modelling time series of counts with overdispersion
• Observation-driven models for Poisson counts
• On the use of estimating functions in monitoring time series for change points
• Parameter Change Test for Poisson Autoregressive Models
• Poisson autoregression
• Recent and classical goodness-of-fit tests for the Poisson distribution
• 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)

• Residual-based CUSUM of squares test for Poisson integer-valued GARCH models
• CUSUM test for general nonlinear integer-valued GARCH models: comparison study
• Changepoints in times series of counts
• Interventions in INGARCH processes
• 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
• Recent progress in parameter change test for integer-valued time series models
• Test of parameter changes in a class of observation-driven models for count time series

This page was built for publication: Change detection in INARCH time series of counts

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5280076)