Monitoring Parameter Change for Time Series Models of Counts Based on Minimum Density Power Divergence Estimator
In this study, we consider an online monitoring procedure to detect a parameter change for integer-valued generalized autoregressive heteroscedastic (INGARCH) models whose conditional density of present observations over past information follows one parameter exponential family distributions. For th...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-11-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/22/11/1304 |