Testing for parameter constancy in non-Gaussian time series

DOI10.1111/J.1467-9892.2012.00810.XMaRDI QIDQ2852478zbMATH OpenOpenAlexFDO

Authors Lu Han, Brendan McCabe

Publication date 9 October 2013

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.2012.00810.x

zbMATH Keywords

CUSUM testdiscrete valued count time seriesnon-Gaussian time seriessup-test

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(13)

• Testing the constancy of the thinning parameter in a random coefficient integer autoregressive model
• CUSUM test for general nonlinear integer-valued GARCH models: comparison study
• Testing for parameter constancy in general causal time-series models
• Testing the constancy of Spearman's rho in multivariate time series
• scientific article; zbMATH DE number 4199387 (Why is no real title available?)
• Diagnostic tests for non-causal time series with infinite variance
• Non-Parametric Testing of Conditional Variance Functions in Time Series
• Tests For Constancy Of Model Parameters Over Time
• Test of parameter changes in a class of observation-driven models for count time series
• Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series
• A new minification integer‐valued autoregressive process driven by explanatory variables
• A new threshold INAR(1) model based on modified negative binomial operator with random coefficient
• A new integer-valued threshold autoregressive process based on modified negative binomial operator driven by explanatory variables

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