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

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  • Jiwon Kang
  • Sangyeol Lee

Abstract

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.

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  • Jiwon Kang & Sangyeol Lee, 2009. "Parameter change test for random coefficient integer‐valued autoregressive processes with application to polio data analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 239-258, March.
  • Handle: RePEc:bla:jtsera:v:30:y:2009:i:2:p:239-258
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    File URL: https://doi.org/10.1111/j.1467-9892.2009.00608.x
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    References listed on IDEAS

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    1. Lee, Sangyeol & Na, Okyoung, 2005. "Test for parameter change in stochastic processes based on conditional least-squares estimator," Journal of Multivariate Analysis, Elsevier, vol. 93(2), pages 375-393, April.
    2. Sangyeol Lee & Jeongcheol Ha & Okyoung Na & Seongryong Na, 2003. "The Cusum Test for Parameter Change in Time Series Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(4), pages 781-796, December.
    3. Haitao Zheng & Ishwar V. Basawa & Somnath Datta, 2006. "Inference for pth‐order random coefficient integer‐valued autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(3), pages 411-440, May.
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    Cited by:

    1. Kang, Jiwon & Song, Junmo, 2015. "Robust parameter change test for Poisson autoregressive models," Statistics & Probability Letters, Elsevier, vol. 104(C), pages 14-21.
    2. repec:bla:jtsera:v:38:y:2017:i:6:p:880-894 is not listed on IDEAS
    3. repec:bla:scjsta:v:44:y:2017:i:4:p:843-865 is not listed on IDEAS
    4. repec:eee:ecolet:v:160:y:2017:i:c:p:33-37 is not listed on IDEAS
    5. Jiwon Kang & Sangyeol Lee, 2014. "Parameter Change Test for Poisson Autoregressive Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(4), pages 1136-1152, December.
    6. repec:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-016-0510-6 is not listed on IDEAS
    7. Kang, Jiwon & Lee, Sangyeol, 2014. "Minimum density power divergence estimator for Poisson autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 80(C), pages 44-56.
    8. repec:spr:aistmt:v:71:y:2019:i:5:d:10.1007_s10463-018-0676-7 is not listed on IDEAS

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