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.
- Sangyeol Lee (Seoul National University)
- Parameter change test for time series models
- Room 706 of the 7th floor of the building J, Graduate School of Engineering Science, Osaka University (Toyonaka campus)
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