Changepoint tests for INARCH time series

  • 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.

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Metadaten
Author:Jürgen Franke, Claudia Kirch, Joseph Tadjuidje Kamgaing
URN (permanent link):urn:nbn:de:hbz:386-kluedo-27255
Serie (Series number):Report in Wirtschaftsmathematik (WIMA Report) (141)
Document Type:Preprint
Language of publication:English
Publication Date:2011/09/12
Year of Publication:2011
Publishing Institute:Technische Universität Kaiserslautern
Tag:CUSUM statistic; INGARCH; Integer-valued time series; Poisson autoregression; changepoint test
Number of page:25
Faculties / Organisational entities:Fachbereich Mathematik
DDC-Cassification:510 Mathematik

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