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

DOI10.1080/00949655.2019.1657865MaRDI QIDQ5107516zbMATH OpenOpenAlexWikidataFDO

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

integer-valued GARCH modelsparameter change testresidual-based CUSUM of squares testtime series of counts

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(8)

• A residual-based test for multivariate GARCH models using transformed quadratic residuals
• Recent progress in parameter change test for integer-valued time series models
• On score vector- and residual-based CUSUM tests in ARMA-GARCH models
• scientific article; zbMATH DE number 5811361 (Why is no real title available?)
• Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models
• Multiple values-inflated time series of counts: modeling and inference based on INGARCH scheme
• Exponential family QMLE-based CUSUM test for integer-valued time series
• Tests for changes in count time series models with exogenous covariates

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