Change detection in INARCH time series of counts
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Hudecová, Šárka
Meintanis, Simos
Hušková, Marie
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Springer
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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
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Hudecová, S. et al. 2016. Change detection in INARCH time series of counts. (In Cao, R., Manteiga, W.G. & Romo, J., eds. Nonparametric statistics). 2nd ISNPS, Cádiz, June 2014. Springer proceedings in mathematics and statistics, 175:47-58. [http://link.springer.com/bookseries/10533]