Parameter change test for time series models


Sangyeol Lee (Seoul National University)
  1. About the Center
  2. Organization
  3. Activities


Osaka University, Mathematical Modeling and Data Science seminar
Data Science seminar series No. 1

Parameter change test for time series models

Sangyeol Lee (Seoul National University)

In this talk, we consider the change point test for time series models. To illustrate, a review of the change point test for various time series is provided. Then, a special attention is paid to integer-valued time series models such as Poisson autoregressive models. As a test, the CUSUM test based on the parameter estimates and residuals is proposed. The test is extended to zero-inflated Poisson AR and bivariate Poisson AR models. Some empirical examples are illustrated.

Speaker:
Sangyeol Lee (Seoul National University)
Title:
Parameter change test for time series models
Date/Time:
Room:
Room 706 of the 7th floor of the building J, Graduate School of Engineering Science, Osaka University (Toyonaka campus)
Fee:
Free
Access:
Access map is available online at
http://www.es.osaka-u.ac.jp/en/access.html
Contact:
Please see Contact page.