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Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, Technische Universität Dortmund >
Technical Reports, SFB 475, TU Dortmund >
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http://hdl.handle.net/10419/41051
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| Title: | | Interventions in ingarch processes  |
| 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, TU Dortmund
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