Parameter change test for zero-inflated generalized Poisson autoregressive models

DOI10.1080/02331888.2015.1083020zbMath1359.62376OpenAlexW2290422356MaRDI QIDQ5739682

Cathy W. S. Chen, Youngmi Lee, Sangyeol Lee

Publication date: 19 July 2016

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888.2015.1083020

zbMATH Keywords

time series of countsCUSUM testtest for parameter changeinteger-valued GARCH modelweak convergence to a Brownian bridgezero-inflated Poisson autoregressive modelconditional maximum likelihood estimator (CMLE)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Fractional processes, including fractional Brownian motion (60G22)

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