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Robust parameter change test for Poisson autoregressive models

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  • Kang, Jiwon
  • Song, Junmo

Abstract

This study considers the problem of testing for a parameter change in Poisson autoregressive models in the presence of outliers. For this purpose, we propose a cumulative sum test based on the robust estimator introduced by Kang and Lee (2014a), and derive its limiting null distribution. Simulation results demonstrate the robust properties of the proposed test.

Suggested Citation

  • Kang, Jiwon & Song, Junmo, 2015. "Robust parameter change test for Poisson autoregressive models," Statistics & Probability Letters, Elsevier, vol. 104(C), pages 14-21.
    • Handle: RePEc:eee:stapro:v:104:y:2015:i:c:p:14-21
    DOI: 10.1016/j.spl.2015.04.027
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    References listed on IDEAS

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    1. Sangyeol Lee & Siyun Park, 2001. "The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 28(4), pages 625-644, December.
    2. Konstantinos Fokianos & Roland Fried, 2010. "Interventions in INGARCH processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(3), pages 210-225, May.
    3. 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.
    4. Doukhan, Paul & Fokianos, Konstantinos & Tjøstheim, Dag, 2012. "On weak dependence conditions for Poisson autoregressions," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 942-948.
    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. 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.
    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.
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    Cited by:

    1. Mamadou Lamine Diop & William Kengne, 2023. "A general procedure for change-point detection in multivariate time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(1), pages 1-33, March.

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