Robust parameter change test for Poisson autoregressive models

Jiwon Kang; Junmo Song

doi:10.1016/j.spl.2015.04.027

Robust parameter change test for Poisson autoregressive models

Jiwon Kang, Junmo Song

Jeju National University

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

This study considers the problem of testing for a parameter change in Poisson autoregressive models in the presence of outliers. For this purpose, we propose a cumulative sum test based on the robust estimator introduced by Kang and Lee (2014a), and derive its limiting null distribution. Simulation results demonstrate the robust properties of the proposed test.

Original language	English
Pages (from-to)	14-21
Number of pages	8
Journal	Statistics and Probability Letters
Volume	104
DOIs	https://doi.org/10.1016/j.spl.2015.04.027
State	Published - 1 Sep 2015

Keywords

Minimum density power divergence estimator
Outliers
Poisson autoregressive model
Robust test
Test for parameter change

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10.1016/j.spl.2015.04.027

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title = "Robust parameter change test for Poisson autoregressive models",

abstract = "This study considers the problem of testing for a parameter change in Poisson autoregressive models in the presence of outliers. For this purpose, we propose a cumulative sum test based on the robust estimator introduced by Kang and Lee (2014a), and derive its limiting null distribution. Simulation results demonstrate the robust properties of the proposed test.",

keywords = "Minimum density power divergence estimator, Outliers, Poisson autoregressive model, Robust test, Test for parameter change",

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AB - This study considers the problem of testing for a parameter change in Poisson autoregressive models in the presence of outliers. For this purpose, we propose a cumulative sum test based on the robust estimator introduced by Kang and Lee (2014a), and derive its limiting null distribution. Simulation results demonstrate the robust properties of the proposed test.

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KW - Test for parameter change

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JO - Statistics and Probability Letters

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ER -

Robust parameter change test for Poisson autoregressive models

Abstract

Keywords

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