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Detection of Changes in INAR Models

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Book cover Stochastic Models, Statistics and Their Applications

Part of the book series: Springer Proceedings in Mathematics & Statistics ((PROMS,volume 122))

Abstract

In the present paper we develop on-line procedures for detecting changes in the parameters of integer valued autoregressive models of order one. Tests statistics based on probability generating functions are constructed and studied. The asymptotic behavior of the tests under the null hypothesis as well as under certain alternatives is derived.

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Acknowledgements

The research of Simos Meintanis was partially supported by grant number 11699 of the Special Account for Research Grants of the National and Kapodistrian University of Athens (ELKE). The research of Marie Hušková was partially supported by grant GAČR P201/12/1277 and by AP research network grant Nr. P7/06 of the Belgian government (Belgian Science Policy). The research of Šárka Hudecová was partially supported by the Czech Science Foundation project DYME Dynamic Models in Economics No. P402/12/G097.

Author information

Authors and Affiliations

  1. Department of Statistics, Charles University of Prague, Sokolovská 83, 186 75, Praha 8, Czech Republic

    Šárka Hudecová & Marie Hušková

  2. Department of Economics, National and Kapodistrian University of Athens, 1 Sophocleous Str., and Aristidou Str., 105 59, Athens, Greece

    Simos Meintanis

  3. Unit for Business Mathematics and Informatics, North–West University, Potchefstroom, South Africa

    Simos Meintanis

Authors
  1. Šárka Hudecová
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  2. Marie Hušková
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  3. Simos Meintanis
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Corresponding author

Correspondence to Marie Hušková .

Editor information

Editors and Affiliations

  1. Institute of Statistics, RWTH Aachen University, Aachen, Germany

    Ansgar Steland

  2. Dept. of Computer Engineering, Control and Robotics, Wrocław University of Technology, Wrocław, Poland

    Ewaryst Rafajłowicz

  3. Inst. of Mathematics and Computer Science, Wrocław University of Technology, Wrocław, Poland

    Krzysztof Szajowski

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Hudecová, Š., Hušková, M., Meintanis, S. (2015). Detection of Changes in INAR Models. In: Steland, A., Rafajłowicz, E., Szajowski, K. (eds) Stochastic Models, Statistics and Their Applications. Springer Proceedings in Mathematics & Statistics, vol 122. Springer, Cham. https://doi.org/10.1007/978-3-319-13881-7_2

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