Kang Jiwon
Research Institute for Basic Sciences, Jeju National University, Jeju 63243, Korea.
Entropy (Basel). 2018 Feb 6;20(2):107. doi: 10.3390/e20020107.
This paper considers the problem of testing for parameter change in random coefficient integer-valued autoregressive models. To overcome some size distortions of the existing estimate-based cumulative sum (CUSUM) test, we suggest estimating function-based test and residual-based CUSUM test. More specifically, we employ the estimating function of the conditional least squares estimator. Under the regularity conditions and the null hypothesis, we derive their limiting distributions, respectively. Simulation results demonstrate the validity of the proposed tests. A real data analysis is performed on the polio incidence data.
本文考虑了随机系数整值自回归模型中参数变化的检验问题。为了克服现有基于估计的累积和（CUSUM）检验的一些大小扭曲问题，我们提出了基于估计函数的检验和基于残差的CUSUM检验。更具体地说，我们采用条件最小二乘估计器的估计函数。在正则条件和原假设下，我们分别推导了它们的极限分布。模拟结果证明了所提出检验的有效性。对脊髓灰质炎发病率数据进行了实际数据分析。
