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Inference and testing for structural change in time series of counts model
time series of counts Poisson autoregression likelihood estimation change-point semi-parametric test
2013/6/14
We consider here together the inference questions and the change-point problem in Poisson autoregressions (see Tj{\o}stheim, 2012). The conditional mean (or intensity) of the process is involved as a ...
Testing for change in mean of heteroskedastic time series
Brownian bridge changes in mean functional central limit theorem heteroskedasticity time series
2011/3/24
In this paper we consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. We derive the limiting distribution under the null, ...
Robust Retrospective Multiple Change-point Estimation for Multivariate Data
Change-point estimation multivariate data Kruskal-Wallis test robust statistics joint segmentation
2011/3/18
We propose a non-parametric statistical procedure for detecting multiple change-points in multidimensional signals. The method is based on a test statistic that generalizes the well-known Kruskal-Wall...