A robust approach for testing parameter change in Poisson autoregressive models

DOI10.1007/S42952-020-00056-7zbMath1485.62119arXiv1908.11466OpenAlexW3009559684MaRDI QIDQ2131967

Jiwon Kang, Junmo Song

Publication date: 27 April 2022

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.11466

zbMATH Keywords

outliersdensity power divergencerobust testPoisson AR modeltesting for parameter change

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (4)

Poisson QMLE for change-point detection in general integer-valued time series models ⋮ Recent progress in parameter change test for integer-valued time series models ⋮ Sequential change point test in the presence of outliers: the density power divergence based approach ⋮ Modeling and inference for multivariate time series of counts based on the INGARCH scheme

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