Residual-based CUSUM of squares test for Poisson integer-valued GARCH models
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DOI: 10.1080/00949655.2019.1657865
Abstract: ABSTRACT This study considers the problem of testing for a parameter change in integer-valued time series models in which the conditional density of current observations is assumed to follow a Poisson distribution. As a test,… read more here.
Keywords: cusum squares; integer valued; poisson; residual based ... See more keywords