Piecewise autoregression for general integer-valued time series

DOI10.1016/j.jspi.2020.07.003zbMath1455.62170arXiv1911.00989OpenAlexW3082905214MaRDI QIDQ826981

Mamadou Lamine Diop, William Charky Kengne

Publication date: 6 January 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.00989

zbMATH Keywords

model selectionslope heuristicmultiple change-pointsinteger-valued time seriespenalized quasi-likelihoodPoisson quasi-maximum likelihood

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

Poisson QMLE for change-point detection in general integer-valued time series models, Consistent model selection procedure for general integer-valued time series, Inference for nonstationary time series of counts with application to change-point problems

Uses Software

• wbs
• CAPUSHE
• basta

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