Change Detection in INARCH Time Series of Counts

被引：6

作者：

Hudecova, Sarka ^{[1
]}

Huskova, Marie ^{[1
]}

Meintanis, Simos ^{[2
,3
]}

机构：

[1] Charles Univ Prague, Dept Probabil & Math Stat, Sokolovska 83, Prague 18675 8, Czech Republic

[2] Univ Athens, Dept Econ, 1 Sophocleous Str & Aristidou Str, Athens 10559, Greece

[3] North West Univ, Unit Business Math & Informat, Potchefstroom, South Africa

来源：

NONPARAMETRIC STATISTICS | 2016年 / 175卷

关键词：

Sequential monitoring; Time series of counts; Empirical probability; generating function; POISSON-DISTRIBUTION; MODELS; FIT; GOODNESS; TESTS;

D O I：

10.1007/978-3-319-41582-6_4

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

In the present paper we develop an online procedure for detecting changes in the parameters of integer ARCH models of order one. The test statistic utilizes the notion of the empirical probability generating function. The asymptotic behavior of the test under the null hypothesis is derived.

引用

页码：47 / 58

页数：12

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