TY - INPR
A1 - Franke, Jürgen
A1 - Kirch, Claudia
A1 - Tadjuidje Kamgaing, Joseph
T1 - Changepoint tests for INARCH time series
N2 - In this paper, we discuss the problem of testing for a changepoint in the structure
of an integer-valued time series. In particular, we consider a test statistic
of cumulative sum (CUSUM) type for general Poisson autoregressions of order
1. We investigate the asymptotic behaviour of conditional least-squares estimates
of the parameters in the presence of a changepoint. Then, we derive the
asymptotic distribution of the test statistic under the hypothesis of no change,
allowing for the calculation of critical values. We prove consistency of the test,
i.e. asymptotic power 1, and consistency of the corresponding changepoint estimate.
As an application, we have a look at changepoint detection in daily
epileptic seizure counts from a clinical study.
T3 - Report in Wirtschaftsmathematik (WIMA Report) - 141
KW - Integer-valued time series
KW - Poisson autoregression
KW - INGARCH
KW - changepoint test
KW - CUSUM statistic
Y1 - 2011
UR - https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/2725
UR - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:hbz:386-kluedo-27255
ER -