Change detection in INARCH time series of counts

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Date
2016
Author
Hudecová, Šárka
Meintanis, Simos
Hušková, Marie
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Abstract
In the present paper we develop an online procedure for detecting changes in the parameters of integer ARCH models of order one. The test statistic utilizes the notion of the empirical probability generating function. The asymptotic behavior of the test under the null hypothesis is derived
URI
http://hdl.handle.net/10394/21428
https://doi.org/10.1007/978-3-319-41582-6_4
https://link.springer.com/chapter/10.1007%2F978-3-319-41582-6_4
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