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Mon, 12 Sep 2011 09:49:44 +0200Mon, 12 Sep 2011 09:49:44 +0200Changepoint tests for INARCH time series
https://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/2725
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.Jürgen Franke; Claudia Kirch; Joseph Tadjuidje Kamgaingpreprinthttps://kluedo.ub.uni-kl.de/frontdoor/index/index/docId/2725Mon, 12 Sep 2011 09:49:44 +0200