Monitoring Parameter Change for Time Series Models of Counts Based on Minimum Density Power Divergence Estimator

Monitoring Parameter Change for Time Series Models of Counts Based on Minimum Density Power Divergence Estimator

In this study, we consider an online monitoring procedure to detect a parameter change for integer-valued generalized autoregressive heteroscedastic (INGARCH) models whose conditional density of present observations over past information follows one parameter exponential family distributions. For th...

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Bibliographic Details
Main Authors: Sangyeol Lee, Dongwon Kim
Format: Article
Language:English
Published: MDPI AG 2020-11-01
Series:Entropy
Subjects:
time series of counts
INGARCH model
SPC
CUSUM monitoring
MDPDE
Online Access:https://www.mdpi.com/1099-4300/22/11/1304

Internet

https://www.mdpi.com/1099-4300/22/11/1304

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