Parameter Change Test for Poisson Autoregressive Models

Jiwon Kang and Sangyeol Lee

Scandinavian Journal of Statistics, 2014, vol. 41, issue 4, 1136-1152

Abstract: type="main" xml:id="sjos12088-abs-0001"> In this paper, we consider the problem of testing for a parameter change in Poisson autoregressive models. We suggest two types of cumulative sum (CUSUM) tests, namely, those based on estimates and residuals. We first demonstrate that the conditional maximum likelihood estimator (CMLE) is strongly consistent and asymptotically normal and then construct the CMLE-based CUSUM test. It is shown that under regularity conditions, its limiting null distribution is a function of independent Brownian bridges. Next, we construct the residual-based CUSUM test and derive its limiting null distribution. Simulation results are provided for illustration. A real-data analysis is performed on data for polio incidence and campylobacteriosis infections.

Date: 2014
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