Presentation 2-6, 17:30PM~18:00PM KST.
Speaker
Yuichi Goto (Kyushu University)
Title
Some hypothesis testing problems for non-negative integer-valued time series.
Abstract
Time series have been attracted attention and widely studied. The integer autoregressive (INAR) model and integer-valued generalized autoregressive conditional heteroskedastic (INGARCH) models are popular models for non-negative integer-valued time series. First, we provide a brief review of this field. Then, we consider some hypothesis testing problems (goodness-of-fit tests, detection of a structural break) and show the asymptotic properties of our proposed tests. Part of this talk is a joint work with Kou Fujimori (Shinshu University).