基于Poisson拟极大似然估计的整数值时间序列CUSUM检验

IF 0.3 Q4 MATHEMATICS
Sangyeol Lee
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引用次数: 2

摘要

研究了基于泊松拟极大似然估计的整值时间序列模型的参数变化检验。作为一种变化点检验,我们考虑了基于分数向量的CUSUM检验,并证明了其极限零分布采用布朗桥函数的形式。此外,基于残差的CUSUM测试被认为是替代方案。为了评估,我们使用泊松、零膨胀泊松、负二项和Conway-Maxwell整值广义自回归条件异方差模型和泊松整值自回归模型进行了蒙特卡罗模拟研究,并比较了所提出的CUSUM检验的性能。我们的研究结果证实,当底层分布不明确时,所建议的测试是检测变化点的功能工具。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
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CiteScore
0.70
自引率
33.30%
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