Change Point Test for the Conditional Mean of Time Series of Counts Based on Support Vector Regression

Change Point Test for the Conditional Mean of Time Series of Counts Based on Support Vector Regression

This study considers support vector regression (SVR) and twin SVR (TSVR) for the time series of counts, wherein the hyper parameters are tuned using the particle swarm optimization (PSO) method. For prediction, we employ the framework of integer-valued generalized autoregressive conditional heterosk...

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Bibliographic Details
Main Authors: Sangyeol Lee, Sangjo Lee
Format: Article
Language:English
Published: MDPI AG 2021-04-01
Series:Entropy
Subjects:
time series of counts
INGARCH model
SVR and TSVR with PSO
change point detection
CUSUM test
Online Access:https://www.mdpi.com/1099-4300/23/4/433

Internet

https://www.mdpi.com/1099-4300/23/4/433

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