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Mean targeting estimation for integer-valued time series with application to change point test

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  • Minyoung Jo
  • Sangyeol Lee

Abstract

This study considers the mean targeting estimation for integer-valued time series models and a parameter change test as its application. We first introduce the mean targeting quasi-maximum likelihood estimator (QMLE) based on generalized autoregressive conditional heteroscedastic (INGARCH) models and then consider the CUSUM test of (standardized) residuals. To evaluate the performance, we conduct a Monte Carlo simulation study applying a negative binomial mean targeting QMLE to Poisson INGARCH, Poisson integer-valued autoregressive (INAR), and log-linear Poisson INGARCH times series of counts, and demonstrate its validity. A real data analysis is also conducted using the drug offense data in Pittsburgh and Goldman Sachs Group stock data for illustration.

Suggested Citation

  • Minyoung Jo & Sangyeol Lee, 2022. "Mean targeting estimation for integer-valued time series with application to change point test," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 51(16), pages 5549-5565, August.
  • Handle: RePEc:taf:lstaxx:v:51:y:2022:i:16:p:5549-5565
    DOI: 10.1080/03610926.2020.1843054
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