Asymptotic normality and parameter change test for bivariate Poisson INGARCH models

DOI10.1007/s11749-016-0510-6OpenAlexW2553572939MaRDI QIDQ1708361

Sangyeol Lee, Dag Tjøstheim, Youngmi Lee

Publication date: 23 March 2018

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-016-0510-6

zbMATH Keywords

time series of countsCUSUM testbivariate Poisson INGARCH modeltest for a parameter change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Related Items (17)

A new bivariate integer-valued GARCH model allowing for negative cross-correlation ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ Count Time Series: A Methodological Review ⋮ Multiple values-inflated time series of counts: modeling and inference based on INGARCH scheme ⋮ Monitoring parameter change for bivariate time series models of counts ⋮ Residual-based CUSUM of squares test for Poisson integer-valued GARCH models ⋮ A general procedure for change-point detection in multivariate time series ⋮ Flexible bivariate INGARCH process with a broad range of contemporaneous correlation ⋮ On consistency for time series model selection ⋮ Multivariate count autoregression ⋮ Editorial ⋮ Modeling and inference for counts time series based on zero-inflated exponential family INGARCH models ⋮ Statistical analysis of multivariate discrete-valued time series ⋮ Flexible and Robust Mixed Poisson INGARCH Models ⋮ Necessary and sufficient conditions for the identifiability of observation‐driven models ⋮ Modeling and inference for multivariate time series of counts based on the INGARCH scheme ⋮ CUSUM test for general nonlinear integer-valued GARCH models: comparison study

Cites Work

• Unnamed Item
• Unnamed Item
• Correction to ``On weak dependence conditions for Poisson autoregressions
• Retrospective change detection for binary time series models
• Structural changes in autoregressive models for binary time series
• On weak dependence conditions for Poisson autoregressions
• Inference and testing for structural change in general Poisson autoregressive models
• Absolute regularity and ergodicity of Poisson count processes
• Constraints on concordance measures in bivariate discrete data
• Thinning operations for modeling time series of counts -- a survey
• On composite likelihood estimation of a multivariate INAR(1) model
• Parameter Change Test for Poisson Autoregressive Models
• Poisson Autoregression
• Parameter change test for random coefficient integer-valued autoregressive processes with application to polio data analysis
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL
• Bivariate Time Series Modeling of Financial Count Data
• An integer-valued pth-order autoregressive structure (INAR(p)) process
• Integer-Valued GARCH Process
• Double Exponential Families and Their Use in Generalized Linear Regression
• The Cusum Test for Parameter Change in Time Series Models
• On Estimation of the Bivariate Poisson INAR Process
• Interventions in log-linear Poisson autoregression
• Self-Excited Threshold Poisson Autoregression
• A bivariate INAR(1) process with application
• Interventions in INGARCH processes
• Changepoints in times series of counts
• Parameter change test for zero-inflated generalized Poisson autoregressive models

This page was built for publication: Asymptotic normality and parameter change test for bivariate Poisson INGARCH models