Robust parameter change test for Poisson autoregressive models

Jiwon Kang and Junmo Song

Statistics & Probability Letters, 2015, vol. 104, issue C, 14-21

Abstract: This study considers the problem of testing for a parameter change in Poisson autoregressive models in the presence of outliers. For this purpose, we propose a cumulative sum test based on the robust estimator introduced by Kang and Lee (2014a), and derive its limiting null distribution. Simulation results demonstrate the robust properties of the proposed test.

Keywords: Poisson autoregressive model; Test for parameter change; Robust test; Outliers; Minimum density power divergence estimator (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2015.04.027

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