{"title":"基于Poisson拟极大似然估计的整数值时间序列CUSUM检验","authors":"Sangyeol Lee","doi":"10.3844/jmssp.2019.250.258","DOIUrl":null,"url":null,"abstract":"This study considers the parameter change test for integer-valued time series models based on the Poisson quasi-maximum likelihood estimates. As a change point test, we consider the score vector-based CUSUM test and show that its limiting null distribution takes the form of a function of Brownian bridges. Moreover, the residual-based CUSUM tests are considered as alternatives. For evaluation, we conduct a Monte Carlo simulation study with Poisson, zero-inflated Poisson, negative binomial and Conway-Maxwell integer-valued generalized autoregressive conditional heteroscedastic models andPoisson integer-valued autoregressive models, and compare the performance of the proposed CUSUM tests. Our findings confirm that the proposed test is a functional tool for detecting a change point when the underlying distribution is unspecified.","PeriodicalId":41981,"journal":{"name":"Jordan Journal of Mathematics and Statistics","volume":"30 1","pages":""},"PeriodicalIF":0.3000,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Poisson Quasi-Maximum Likelihood Estimator-based CUSUM Test for Integer-Valued Time Series\",\"authors\":\"Sangyeol Lee\",\"doi\":\"10.3844/jmssp.2019.250.258\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This study considers the parameter change test for integer-valued time series models based on the Poisson quasi-maximum likelihood estimates. As a change point test, we consider the score vector-based CUSUM test and show that its limiting null distribution takes the form of a function of Brownian bridges. Moreover, the residual-based CUSUM tests are considered as alternatives. For evaluation, we conduct a Monte Carlo simulation study with Poisson, zero-inflated Poisson, negative binomial and Conway-Maxwell integer-valued generalized autoregressive conditional heteroscedastic models andPoisson integer-valued autoregressive models, and compare the performance of the proposed CUSUM tests. Our findings confirm that the proposed test is a functional tool for detecting a change point when the underlying distribution is unspecified.\",\"PeriodicalId\":41981,\"journal\":{\"name\":\"Jordan Journal of Mathematics and Statistics\",\"volume\":\"30 1\",\"pages\":\"\"},\"PeriodicalIF\":0.3000,\"publicationDate\":\"2019-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Jordan Journal of Mathematics and Statistics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3844/jmssp.2019.250.258\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"MATHEMATICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Jordan Journal of Mathematics and Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3844/jmssp.2019.250.258","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"MATHEMATICS","Score":null,"Total":0}
Poisson Quasi-Maximum Likelihood Estimator-based CUSUM Test for Integer-Valued Time Series
This study considers the parameter change test for integer-valued time series models based on the Poisson quasi-maximum likelihood estimates. As a change point test, we consider the score vector-based CUSUM test and show that its limiting null distribution takes the form of a function of Brownian bridges. Moreover, the residual-based CUSUM tests are considered as alternatives. For evaluation, we conduct a Monte Carlo simulation study with Poisson, zero-inflated Poisson, negative binomial and Conway-Maxwell integer-valued generalized autoregressive conditional heteroscedastic models andPoisson integer-valued autoregressive models, and compare the performance of the proposed CUSUM tests. Our findings confirm that the proposed test is a functional tool for detecting a change point when the underlying distribution is unspecified.