Intervention analysis for INAR(1) models

• Xanthi Pedeli ^[1] ; Roland Fried ^[2]
  1. [1] Athens University of Economics and Business

     Athens University of Economics and Business

     Dimos Athens, Grecia

     
  2. [2] TU Dortmund University
• Localización: Proceedings of the 35th International Workshop on Statistical Modelling : July 20-24, 2020 Bilbao, Basque Country, Spain / Itziar Irigoyen Garbizu (ed. lit.), Dae-Jin Lee (ed. lit.), Joaquín Martínez Minaya (ed. lit.), María Xosé Rodríguez Álvarez (ed. lit.), 2020, ISBN 978-84-1319-267-3, págs. 181-184
• Idioma: inglés
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• Resumen

  • We study the problem of intervention e ects generating various types of outliers in a rst order integer valued autoregressive model with Poisson innovations.

    We concentrate on outliers which enter the dynamics and can be seen as e ects of extraordinary events. We consider three di erent scenarios, namely the detection of an intervention e ect of a known type at a known time, the detection of an intervention e ect of unknown type at a known time and the detection of an intervention e ect when the type and the time are both unknown. We develop F-tests and score tests for the rst scenario. For the second and third scenarios we rely on the maximum of the di erent F-type or score statistics. The usefulness of the proposed approach is illustrated using simulated examples.