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Activity Number: 33 - Applications in Time Series Analysis
Type: Contributed
Date/Time: Sunday, July 29, 2018 : 2:00 PM to 3:50 PM
Sponsor: Business and Economic Statistics Section
Abstract #328840 Presentation
Title: Estimation of Change-Point for a Class of Count Time Series Models
Author(s): Yunwei Cui*
Companies: Towson University
Keywords: estimation of change-point; integer-valued time series

We propose a three-step sequential procedure to estimate the change-point of integer-valued time series. Under mild regularity conditions, not only is the asymptotic normality of the model estimators established, but also the estimator of the location of change-point is shown to converge in distribution to the location of the maxima of a double-sided random walk. We verify that the proposed method is applicable for the first order integer-valued generalized autoregressive conditional heteroskedastic (INGARCH(1, 1)) models with Poisson or negative binomial conditional distributions.

Authors who are presenting talks have a * after their name.

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