Robust parameter change test for Poisson autoregressive models

DOI10.1016/J.SPL.2015.04.027MaRDI QIDQ491688zbMATH OpenOpenAlexFDO

Authors Jiwon Kang, Junmo Song

Publication date 19 August 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2015.04.027

zbMATH Keywords

outliersPoisson autoregressive modelrobust testminimum density power divergence estimatortest for parameter change

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Absolute regularity and ergodicity of Poisson count processes
• Integer-Valued GARCH Process
• Interventions in INGARCH processes
• Interventions in log-linear Poisson autoregression
• Minimum density power divergence estimator for Poisson autoregressive models
• On weak dependence conditions for Poisson autoregressions
• Parameter Change Test for Poisson Autoregressive Models
• Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis
• Robust and efficient estimation by minimising a density power divergence
• The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes

Cited in

(10)

• A general procedure for change-point detection in multivariate time series
• Test for parameter change in the presence of outliers: the density power divergence-based approach
• SPC methods for time-dependent processes of counts—A literature review
• Estimation and testing for a Poisson autoregressive model
• Recent progress in parameter change test for integer-valued time series models
• Sequential change point test in the presence of outliers: the density power divergence based approach
• Score test for parameter change in Poisson autoregressive models
• Parameter Change Test for Poisson Autoregressive Models
• Parameter change test for zero-inflated generalized Poisson autoregressive models
• A robust approach for testing parameter change in Poisson autoregressive models

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