Test Statistics for Parameter Changes in INAR(p) Models and a Simulation Study
In the paper a change detection procedure is introduced for integervalued autoregressive processes which are inspired by the ordinary autoregressive model. The power of the test is investigated in a simulation study to determine how effectively it can detect changes in the key parameters of the proc...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2016-02-01
|
| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/216 |