Test of parameter changes in a class of observation-driven models for count time series (Q5077400)

scientific article; zbMATH DE number 7528873

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English	Test of parameter changes in a class of observation-driven models for count time series	scientific article; zbMATH DE number 7528873

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instance of

scholarly article

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title

Test of parameter changes in a class of observation-driven models for count time series (English)

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18 May 2022

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zbMATH Keywords

diagnostic tests

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change-point detection

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negative binomial INGARCH model

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nonlinear models

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time series of counts

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MaRDI profile type

Publication

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full work available at URL

https://doi.org/10.1080/03610926.2019.1565843

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cites work

Poisson QMLE of count time series models

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Structural breaks in time series

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GARCH processes: structure and estimation

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QUASI-LIKELIHOOD INFERENCE FOR NEGATIVE BINOMIAL TIME SERIES MODELS

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Q3922034

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Conditional maximum likelihood estimation for a class of observation-driven time series models for count data

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Conditional maximum likelihood estimation in negative binomial INGARCH processes with known number of successes when the true parameter is at the boundary of the parameter space

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Predictive Model Assessment for Count Data

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On autocorrelation in a Poisson regression model

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M-estimation for autoregression with infinite variance

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Theory and inference for a class of nonlinear models with application to time series of counts

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A negative binomial model for time series of counts

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Testing Parameter Change in General Integer‐Valued Time Series

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Inference and testing for structural change in general Poisson autoregressive models

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Integer-Valued GARCH Process

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Interventions in INGARCH processes

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Retrospective change detection for binary time series models

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Poisson Autoregression

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Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes

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Changepoints in times series of counts

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Structural changes in autoregressive models for binary time series

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Detection of Changes in INAR Models

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Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis

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Parameter Change Test for Poisson Autoregressive Models

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On the use of estimating functions in monitoring time series for change points

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The Cusum Test for Parameter Change in Time Series Models

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Threshold negative binomial autoregressive model

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Changepoints in the North Atlantic Tropical Cyclone Record

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Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach

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Q3583112

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Self-Excited Threshold Poisson Autoregression

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Limit theorems for iterated random functions

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A regression model for time series of counts

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A negative binomial integer-valued GARCH model

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Modeling overdispersed or underdispersed count data with generalized Poisson integer-valued GARCH models

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Zero-inflated Poisson and negative binomial integer-valued GARCH models

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Modelling Count Data Time Series with Markov Processes Based on Binomial Thinning

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published in

Communications in Statistics: Theory and Methods

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Identifiers

DOI

10.1080/03610926.2019.1565843

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5077400