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Testing Parameter Change in General Integer-Valued Time Series

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  • Mamadou Lamine Diop
  • William Kengne

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  • Mamadou Lamine Diop & William Kengne, 2017. "Testing Parameter Change in General Integer-Valued Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 880-894, November.
  • Handle: RePEc:bla:jtsera:v:38:y:2017:i:6:p:880-894
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    File URL: http://hdl.handle.net/10.1111/jtsa.12240
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    References listed on IDEAS

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    1. Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009. "Poisson Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1430-1439.
    2. Cameron,A. Colin & Trivedi,Pravin K., 2013. "Regression Analysis of Count Data," Cambridge Books, Cambridge University Press, number 9781107667273, June.
    3. Moysiadis, Theodoros & Fokianos, Konstantinos, 2014. "On binary and categorical time series models with feedback," Journal of Multivariate Analysis, Elsevier, vol. 131(C), pages 209-228.
    4. René Ferland & Alain Latour & Driss Oraichi, 2006. "Integer‐Valued GARCH Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(6), pages 923-942, November.
    5. William Charky Kengne, 2012. "Testing for parameter constancy in general causal time‐series models," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(3), pages 503-518, May.
    6. Doukhan, Paul & Fokianos, Konstantinos & Tjøstheim, Dag, 2012. "On weak dependence conditions for Poisson autoregressions," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 942-948.
    7. 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.
    8. Fokianos, Konstantinos & Tjøstheim, Dag, 2011. "Log-linear Poisson autoregression," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 563-578, March.
    9. Fukang Zhu, 2011. "A negative binomial integer‐valued GARCH model," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(1), pages 54-67, January.
    10. Christian Weiß, 2009. "Modelling time series of counts with overdispersion," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 18(4), pages 507-519, November.
    11. Konstantinos Fokianos & Dag Tjøstheim, 2012. "Nonlinear Poisson autoregression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(6), pages 1205-1225, December.
    12. 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.
    13. Vasiliki Christou & Konstantinos Fokianos, 2014. "Quasi-Likelihood Inference For Negative Binomial Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 55-78, January.
    14. J. Pfanzagl, 1969. "On the measurability and consistency of minimum contrast estimates," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 14(1), pages 249-272, December.
    15. Richard A. Davis & Rongning Wu, 2009. "A negative binomial model for time series of counts," Biometrika, Biometrika Trust, vol. 96(3), pages 735-749.
    16. Jürgen Franke & Claudia Kirch & Joseph Tadjuidje Kamgaing, 2012. "Changepoints in times series of counts," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(5), pages 757-770, September.
    17. 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.
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