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Test of parameter changes in a class of observation-driven models for count time series

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  • Yunwei Cui
  • Rongning Wu

Abstract

This paper investigates the parameter-change tests for a class of observation-driven models for count time series. We propose two cumulative sum (CUSUM) test procedures for detection of changes in model parameters. Under regularity conditions, the asymptotic null distributions of the test statistics are established. In addition, the integer-valued generalized autoregressive conditional heteroskedastic (INGARCH) processes with conditional negative binomial distributions are investigated. The developed techniques are examined through simulation studies and also are illustrated using an empirical example.

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  • Yunwei Cui & Rongning Wu, 2020. "Test of parameter changes in a class of observation-driven models for count time series," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(8), pages 1933-1959, April.
    • Handle: RePEc:taf:lstaxx:v:49:y:2020:i:8:p:1933-1959
    DOI: 10.1080/03610926.2019.1565843
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    Cited by:

    1. Yunwei Cui & Rongning Wu & Qi Zheng, 2021. "Estimation of change‐point for a class of count time series models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1277-1313, December.

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