Change detection in INARCH time series of counts

DOI10.1007/978-3-319-41582-6_4zbMATH Open1366.62066OpenAlexW2519986650MaRDI QIDQ5280076FDOQ5280076

Simos G. Meintanis, Marie Hušková, Šárka Hudecová

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

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

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)

Cites Work

• Compound Poisson INAR(1) processes: stochastic properties and testing for overdispersion
• Validation tests for the innovation distribution in INAR time series models
• A Goodness‐of‐Fit Test for Integer‐Valued Autoregressive Processes
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• Bootstrapping sequential change-point tests for linear regression
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• Observation-driven models for Poisson counts
• Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models
• Poisson Autoregression
• Bootstrapping Sequential Change-Point Tests
• Title not available (Why is that?)
• Recent and classical goodness-of-fit tests for the Poisson distribution
• Integer-Valued GARCH Process
• Modelling time series of counts with overdispersion
• Weak dependence. With examples and applications.
• Change‐point monitoring in linear models
• A new weak dependence condition and applications to moment inequalities
• Parameter Change Test for Poisson Autoregressive Models
• Interventions in INGARCH processes
• Decoupling change-point detection based on characteristic functions: methodology, asymptotics, subsampling and application
• A negative binomial integer-valued GARCH model
• Title not available (Why is that?)
• Changepoints in times series of counts
• A goodness of fit test for the Poisson distribution based on the empirical generating function
• Testing for the bivariate Poisson distribution
• A test of fit for lattice distributions
• A class of count models and a new consistent test for the Poisson distribution
• Tests for time series of counts based on the probability-generating function

Cited In (4)

• Changepoints in times series of counts
• Recent progress in parameter change test for integer-valued time series models
• CUSUM test for general nonlinear integer-valued GARCH models: comparison study
• Residual-based CUSUM of squares test for Poisson integer-valued GARCH models

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