Testing Parameter Change in General Integer‐Valued Time Series

DOI10.1111/JTSA.12240MaRDI QIDQ4596428zbMATH OpenOpenAlexFDO

Authors Mamadou Lamine Diop, William Charky Kengne

Publication date 1 December 2017

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1602.08654

zbMATH Keywords

autoregressive modelschange point detectiondiscrete-valued time seriesexponential familymaximum likelihood estimator

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

Abstract: We consider the structural change in a class of discrete valued time series that the conditional distribution follows a one-parameter exponential family. We propose a change-point test based on the maximum likelihood estimator of the parameter of the model. Under the null hypothesis (of no change), the test statistics converges to a well known distribution, allowing for the calculation of the critical values of the test. The test statistic diverges to infinity under the alternative, that is, the test asymptotically has power one. Some simulation results and real data applications are reported to show the applicability of the test procedure.

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Cited in

(22)

• Robust estimation for general integer-valued time series models
• Inference for nonstationary time series of counts with application to change-point problems
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• CUSUM test for general nonlinear integer-valued GARCH models: comparison study
• Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models
• Tests for structural changes in time series of counts
• Parameter change test for periodic integer-valued autoregressive process
• Test of parameter changes in a class of observation-driven models for count time series
• Estimation and testing for the integer-valued threshold autoregressive models based on negative binomial thinning
• Residual-based CUSUM of squares test for Poisson integer-valued GARCH models
• Change detection in INARCH time series of counts
• A general procedure for change-point detection in multivariate time series
• \( \mathbb{Z} \)-valued time series: models, properties and comparison
• Epidemic change-point detection in general integer-valued time series
• Local asymptotic normality and optimal estimation for self-excited threshold generalized INAR(p) models
• High-order self-excited multiple thresholds generalized integer-valued autoregressive model
• Density power divergence estimator for general integer-valued time series with exogenous covariates
• Tests for changes in count time series models with exogenous covariates
• Tests for a structural break for nonnegative integer-valued time series
• Piecewise autoregression for general integer-valued time series

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