Tests for Structural Changes in Time Series of Counts

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>

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

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

10103 - Statistics and probability

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)

Publication year

2017

Confidentiality

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

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