Testing the compounding structure of the CP-INARCH model

Detalhes bibliográficos
Autor(a) principal: Weiß, Christian H.
Data de Publicação: 2017
Outros Autores: Gonçalves, Esmeralda, Mendes-Lopes, Nazaré
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10316/45370
https://doi.org/10.1007/s00184-017-0617-0
Resumo: A statistical test to distinguish between a Poisson INARCH model and a Compound Poisson INARCH model is proposed, based on the form of the probability generating function of the compounding distribution of the conditional law of the model. For first-order autoregression, the normality of the test statistics’ asymptotic distribution is established, either in the case where the model parameters are specified, or when such parameters are consistently estimated. As the test statistics’ law involves the moments of inverse conditional means of the Compound Poisson INARCH process, the analysis of their existence and calculation is performed by two approaches. For higher-order autoregressions, we use a bootstrap implementation of the test. A simulation study illustrating the finite-sample performance of this test methodology in what concerns its size and power concludes the paper.
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spelling Testing the compounding structure of the CP-INARCH modelA statistical test to distinguish between a Poisson INARCH model and a Compound Poisson INARCH model is proposed, based on the form of the probability generating function of the compounding distribution of the conditional law of the model. For first-order autoregression, the normality of the test statistics’ asymptotic distribution is established, either in the case where the model parameters are specified, or when such parameters are consistently estimated. As the test statistics’ law involves the moments of inverse conditional means of the Compound Poisson INARCH process, the analysis of their existence and calculation is performed by two approaches. For higher-order autoregressions, we use a bootstrap implementation of the test. A simulation study illustrating the finite-sample performance of this test methodology in what concerns its size and power concludes the paper.Springer Berlin Heidelberg2017info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttp://hdl.handle.net/10316/45370http://hdl.handle.net/10316/45370https://doi.org/10.1007/s00184-017-0617-0https://doi.org/10.1007/s00184-017-0617-0enghttps://link.springer.com/article/10.1007/s00184-017-0617-0Weiß, Christian H.Gonçalves, EsmeraldaMendes-Lopes, Nazaréinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2021-06-29T10:02:50Zoai:estudogeral.uc.pt:10316/45370Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T20:53:24.326070Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Testing the compounding structure of the CP-INARCH model
title Testing the compounding structure of the CP-INARCH model
spellingShingle Testing the compounding structure of the CP-INARCH model
Weiß, Christian H.
title_short Testing the compounding structure of the CP-INARCH model
title_full Testing the compounding structure of the CP-INARCH model
title_fullStr Testing the compounding structure of the CP-INARCH model
title_full_unstemmed Testing the compounding structure of the CP-INARCH model
title_sort Testing the compounding structure of the CP-INARCH model
author Weiß, Christian H.
author_facet Weiß, Christian H.
Gonçalves, Esmeralda
Mendes-Lopes, Nazaré
author_role author
author2 Gonçalves, Esmeralda
Mendes-Lopes, Nazaré
author2_role author
author
dc.contributor.author.fl_str_mv Weiß, Christian H.
Gonçalves, Esmeralda
Mendes-Lopes, Nazaré
description A statistical test to distinguish between a Poisson INARCH model and a Compound Poisson INARCH model is proposed, based on the form of the probability generating function of the compounding distribution of the conditional law of the model. For first-order autoregression, the normality of the test statistics’ asymptotic distribution is established, either in the case where the model parameters are specified, or when such parameters are consistently estimated. As the test statistics’ law involves the moments of inverse conditional means of the Compound Poisson INARCH process, the analysis of their existence and calculation is performed by two approaches. For higher-order autoregressions, we use a bootstrap implementation of the test. A simulation study illustrating the finite-sample performance of this test methodology in what concerns its size and power concludes the paper.
publishDate 2017
dc.date.none.fl_str_mv 2017
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10316/45370
http://hdl.handle.net/10316/45370
https://doi.org/10.1007/s00184-017-0617-0
https://doi.org/10.1007/s00184-017-0617-0
url http://hdl.handle.net/10316/45370
https://doi.org/10.1007/s00184-017-0617-0
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv https://link.springer.com/article/10.1007/s00184-017-0617-0
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Springer Berlin Heidelberg
publisher.none.fl_str_mv Springer Berlin Heidelberg
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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