English

Inference for multiple change-points in generalized integer-valued autoregressive model

Methodology 2024-04-23 v1 Applications

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 hh is more satisfied to be used in long-time series with few and even change-points vs. LRSM with the multiple window parameter hmixh_{mix} performs well in short-time series with large and dense change-points. The computational complexity of LRSM can be efficiently performed with order O((logn)3n)O((\log n)^3 n). 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.

Keywords

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

R2 v1 2026-06-28T16:01:41.242Z