Parameter change test for zero-inflated generalized Poisson autoregressive models. Issue 3 (3rd May 2016)

• Record Type: Journal Article
• Authors: Lee, Sangyeol; Lee, Youngmi; Chen, Cathy W.S.
• Is Part Of: Statistics. Volume 50:Issue 3(2016)
• Page Start: 540
• Page End: 557
• Publication Date: 2016-05-03
• Subjects: time series of counts -- zero-inflated Poisson autoregressive model -- integer-valued GARCH model -- test for parameter change -- CUSUM test -- weak convergence to a Brownian bridge; Mathematical statistics -- Periodicals; 519.505
• DOI: 10.1080/02331888.2015.1083020
• Languages: English
• ISSNs: 0233-1888

Abstract

Abstract : In this paper, we consider the problem of testing for parameter change in zero-inflated generalized Poisson (ZIGP) autoregressive models. We verify that the ZIGP process is stationary and ergodic and that the conditional maximum likelihood estimator (CMLE) is strongly consistent and asymptotically normal. Based on these results, we construct CMLE- and residual-based cumulative sum tests and show that their limiting null distributions are a function of independent Brownian bridges. The simulation results are provided for illustration. A real data analysis is performed on some crime data of Australia.