Asymptotic normality and parameter change test for bivariate Poisson INGARCH models

• Youngmi Lee ^[1] ; Sangyeol Lee ^[1] ; Dag Tjøstheim ^[2]
  1. [1] Seoul National University

     Seoul National University

     Corea del Sur

     
  2. [2] University of Bergen

     University of Bergen

     Noruega

     
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 27, Nº. 1, 2018 (Ejemplar dedicado a: Special issue on goodness of fit (GOF)), págs. 52-69
• Idioma: inglés
• DOI: 10.1007/s11749-016-0510-6
• Texto completo no disponible (Saber más ...)
• Resumen

  • In this paper, we consider the problem of testing for a parameter change in bivariate Poisson integer-valued GARCH(1, 1) models, constructed via a trivariate reduction method of independent Poisson variables. We verify that the conditional maximum-likelihood estimator of the model parameters is asymptotically normal. Then, based on these results, we construct CMLE- and residual-based CUSUM tests and derive that their limiting null distributions are a function of independent Brownian bridges. A simulation study and real data analysis are conducted for illustration.