Monitoring Parameter Shift with Poisson Integer-valued GARCH models

来源 :上海交通大学 | 被引量 : 0次 | 上传用户：liliansun71

【摘要】

：

This study examines the statistical process control chart used to detect a parameter shift with Poisson integer-valued GARCH(INGARCH)models and zero-inflated Poisson INGARCH models.

【作者】

：

Jaewon Huh Hanwool Kim Sangyeol Lee

【机构】

：

Department of Statistics,Seoul National University,Seoul 151-742,Korea

【出处】

：

上海交通大学

【发表日期】

：

2016年4期

【关键词】

：

Time series of counts ZIP INGARCH model statistical process control likelihood r

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　　This study examines the statistical process control chart used to detect a parameter shift with Poisson integer-valued GARCH(INGARCH)models and zero-inflated Poisson INGARCH models.

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Monitoring Parameter Shift with Poisson Integer-valued GARCH models

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