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Tests for Structural Changes in Time Series of Counts

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F17%3A10366040" target="_blank" >RIV/00216208:11320/17:10366040 - isvavai.cz</a>

  • Result on the web

    <a href="http://dx.doi.org/10.1111/sjos.12278" target="_blank" >http://dx.doi.org/10.1111/sjos.12278</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1111/sjos.12278" target="_blank" >10.1111/sjos.12278</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Tests for Structural Changes in Time Series of Counts

  • Original language description

    We propose methods for detecting structural changes in time series with discrete-valued observations. The detector statistics come in familiar L2-type formulations incorporating the empirical probability generating function. Special emphasis is given to the popular models of integer autoregression and Poisson autoregression. For both models, we study mainly structural changes due to a change in distribution, but we also comment for the classical problem of parameter change. The asymptotic properties of the proposed test statistics are studied under the null hypothesis as well as under alternatives. A Monte Carlo power study on bootstrap versions of the new methods is also included along with a real data example.

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • OECD FORD branch

    10103 - Statistics and probability

Result continuities

  • Project

    Result was created during the realization of more than one project. More information in the Projects tab.

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2017

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Scandinavian Journal of Statistics

  • ISSN

    0303-6898

  • e-ISSN

  • Volume of the periodical

    44

  • Issue of the periodical within the volume

    4

  • Country of publishing house

    GB - UNITED KINGDOM

  • Number of pages

    23

  • Pages from-to

    843-865

  • UT code for WoS article

    000414637000002

  • EID of the result in the Scopus database

    2-s2.0-85021225742