Test of parameter changes in a class of observation-driven models for count time series
Test of parameter changes in a class of observation-driven models for count time series
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DOI：
10.1080/03610926.2019.1565843
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发表时间：
2020-04-17
影响因子：
0.8
通讯作者：
Wu, Rongning
中科院分区：
文献类型：
--
作者：
Cui, Yunwei;Wu, Rongning
研究了一类计数时间序列观测驱动模型的参数变化检验。我们提出了两种累积和（CUSUM）测试程序来检测模型参数的变化。在正则性条件下，建立了检验统计量的渐近零分布。此外，研究了具有条件负二项分布的整值广义自回归条件异方差过程。通过模拟研究对所开发的技术进行了检验，并通过实例加以说明。
This paper investigates the parameter-change tests for a class of observation-driven models for count time series. We propose two cumulative sum (CUSUM) test procedures for detection of changes in model parameters. Under regularity conditions, the asymptotic null distributions of the test statistics are established. In addition, the integer-valued generalized autoregressive conditional heteroskedastic (INGARCH) processes with conditional negative binomial distributions are investigated. The developed techniques are examined through simulation studies and also are illustrated using an empirical example.