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Parameter change test for periodic integer-valued autoregressive process

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  • GangHyok Yu
  • SongGuk Kim

Abstract

This paper studies a parameter change testing problem in periodic integer-valued autoregressive process of order p with period T(PINART(p)). The process is transformed into a multivariate INAR(1) process for which basic probabilistic and statistical properties are researched. The cumulative sum test based on conditional least-squares estimators is employed to test the parameter change of PINART(p) process. That returns to tests for the parameter change of T-INAR(p) models. The power of test is evaluated through simulation results.

Suggested Citation

  • GangHyok Yu & SongGuk Kim, 2020. "Parameter change test for periodic integer-valued autoregressive process," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(12), pages 2898-2912, June.
    • Handle: RePEc:taf:lstaxx:v:49:y:2020:i:12:p:2898-2912
    DOI: 10.1080/03610926.2019.1584309
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