大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

Parameter change test for time series models

Sangyeol Lee (Seoul National University)

1. ホーム
2. セミナー・集中講義
3. セミナー
4. Parameter change test for time series models

大阪大学 数理・データ科学セミナー データ科学セミナーシリーズ第１回

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.