Inference for multiple change-points in generalized integer-valued autoregressive model
Abstract
In this paper, we propose a computationally valid and theoretically justified methods, the likelihood ratio scan method (LRSM), for estimating multiple change-points in a piecewise stationary generalized conditional integer-valued autoregressive process. LRSM with the usual window parameter is more satisfied to be used in long-time series with few and even change-points vs. LRSM with the multiple window parameter performs well in short-time series with large and dense change-points. The computational complexity of LRSM can be efficiently performed with order . Moreover, two bootstrap procedures, namely parametric and block bootstrap, are developed for constructing confidence intervals (CIs) for each of the change-points. Simulation experiments and real data analysis show that the LRSM and bootstrap procedures have excellent performance and are consistent with the theoretical analysis.
Cite
@article{arxiv.2404.13834,
title = {Inference for multiple change-points in generalized integer-valued autoregressive model},
author = {Danshu Sheng and Dehui Wang},
journal= {arXiv preprint arXiv:2404.13834},
year = {2024}
}
Comments
41 pages, 6 figures