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Detection of Parameter Change in Random Coefficient Integer-Valued Autoregressive Models

This paper considers the problem of testing for parameter change in random coefficient integer-valued autoregressive models. To overcome some size distortions of the existing estimate-based cumulative sum (CUSUM) test, we suggest estimating function-based test and residual-based CUSUM test. More spe...

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Detalles Bibliográficos
Autor principal: Kang, Jiwon
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2018
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7512600/
https://www.ncbi.nlm.nih.gov/pubmed/33265198
http://dx.doi.org/10.3390/e20020107
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author Kang, Jiwon
author_facet Kang, Jiwon
author_sort Kang, Jiwon
collection PubMed
description This paper considers the problem of testing for parameter change in random coefficient integer-valued autoregressive models. To overcome some size distortions of the existing estimate-based cumulative sum (CUSUM) test, we suggest estimating function-based test and residual-based CUSUM test. More specifically, we employ the estimating function of the conditional least squares estimator. Under the regularity conditions and the null hypothesis, we derive their limiting distributions, respectively. Simulation results demonstrate the validity of the proposed tests. A real data analysis is performed on the polio incidence data.
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spelling pubmed-75126002020-11-09 Detection of Parameter Change in Random Coefficient Integer-Valued Autoregressive Models Kang, Jiwon Entropy (Basel) Article This paper considers the problem of testing for parameter change in random coefficient integer-valued autoregressive models. To overcome some size distortions of the existing estimate-based cumulative sum (CUSUM) test, we suggest estimating function-based test and residual-based CUSUM test. More specifically, we employ the estimating function of the conditional least squares estimator. Under the regularity conditions and the null hypothesis, we derive their limiting distributions, respectively. Simulation results demonstrate the validity of the proposed tests. A real data analysis is performed on the polio incidence data. MDPI 2018-02-06 /pmc/articles/PMC7512600/ /pubmed/33265198 http://dx.doi.org/10.3390/e20020107 Text en © 2018 by the author. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
spellingShingle Article
Kang, Jiwon
Detection of Parameter Change in Random Coefficient Integer-Valued Autoregressive Models
title Detection of Parameter Change in Random Coefficient Integer-Valued Autoregressive Models
title_full Detection of Parameter Change in Random Coefficient Integer-Valued Autoregressive Models
title_fullStr Detection of Parameter Change in Random Coefficient Integer-Valued Autoregressive Models
title_full_unstemmed Detection of Parameter Change in Random Coefficient Integer-Valued Autoregressive Models
title_short Detection of Parameter Change in Random Coefficient Integer-Valued Autoregressive Models
title_sort detection of parameter change in random coefficient integer-valued autoregressive models
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7512600/
https://www.ncbi.nlm.nih.gov/pubmed/33265198
http://dx.doi.org/10.3390/e20020107
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