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",

author = "Jiwon Kang and Junmo Song",

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year = "2015",

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AU - Song, Junmo

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N2 - 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.

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.

KW - Minimum density power divergence estimator

KW - Outliers

KW - Poisson autoregressive model

KW - Robust test

KW - Test for parameter change

UR - https://www.scopus.com/pages/publications/84929572142

U2 - 10.1016/j.spl.2015.04.027

DO - 10.1016/j.spl.2015.04.027

M3 - Article

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VL - 104

SP - 14

EP - 21

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Robust parameter change test for Poisson autoregressive models

Abstract

Keywords

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