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

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Author Info
Jiwon Kang
Sangyeol Lee
Abstract

In this paper, we consider the problem of testing for a parameter change in a first-order random coefficient integer-valued autoregressive [RCINAR(1)] model. We employ the cumulative sum (CUSUM) test based on the conditional least-squares and modified quasi-likelihood estimators. It is shown that under regularity conditions, the CUSUM test has the same limiting distribution as the supremum of the squares of independent Brownian bridges. The CUSUM test is then applied to the analysis of the monthly polio counts data set. Copyright 2009 The Authors. Journal compilation 2009 Blackwell Publishing Ltd

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9892.2009.00608.x
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Article provided by Blackwell Publishing in its journal Journal of Time Series Analysis.

Volume (Year): 30 (2009)
Issue (Month): 2 (03)
Pages: 239-258
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Handle: RePEc:bla:jtsera:v:30:y:2009:i:2:p:239-258

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This page was last updated on 2009-10-26.


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