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Title:Interventions in ingarch processes PDF Logo
Authors:Fokianos, Konstantions
Fried, Roland
Issue Date:2009
Series/Report no.:Technical Report // Sonderforschungsbereich 475, Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund 2009,11
Abstract:We study the problem of intervention effects generating various types of outliers in a linear count time series model. This model belongs to the class of observation driven models and extends the class of Gaussian linear time series models within the exponential family framework. Studies about effects of covariates and interventions for count time series models have largely fallen behind due to the fact that the underlying process, whose behavior determines the dynamics of the observed process, is not observed. We suggest a computationally feasible approach to these problems, focusing especially on the detection and estimation of sudden shifts and outliers. To identify successfully such unusual events we employ the maximum of score tests, whose critical values in finite samples are determined by parametric bootstrap. The usefulness of the proposed methods is illustrated using simulated and real data examples.
Subjects:parametric bootstrap
generalized linear models
observation driven models
level shifts
transient shifts
outliers
Document Type:Working Paper
Appears in Collections:Technical Reports, SFB 475: Komplexitätsreduktion in multivariaten Datenstrukturen, TU Dortmund

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