带有协变量的计数时间序列模型的规格检验

IF 1.2 4区数学 Q2 STATISTICS & PROBABILITY Test Pub Date : 2024-07-01 DOI:10.1007/s11749-024-00933-x

Šárka Hudecová, Marie Hušková, Simos G. Meintanis

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引用次数: 0

摘要

我们提出了一类带有协变量的计数时间序列模型的拟合优度检验，其中带有协变量的泊松自回归模型（PARX）是一个特例。检验标准是从条件概率生成函数的一个特定特征推导出来的，检验统计量被表述为相应样本对应的加权规范（\(L_2\) weighting norm）。提出的检验统计量在零假设和特定替代假设下都具有渐近性质。在蒙特卡洛研究中探讨了该检验的自举版本，并在道路安全的真实数据集上进行了说明。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Specifications tests for count time series models with covariates

We propose a goodness-of-fit test for a class of count time series models with covariates which includes the Poisson autoregressive model with covariates (PARX) as a special case. The test criteria are derived from a specific characterization for the conditional probability generating function, and the test statistic is formulated as a \(L_2\) weighting norm of the corresponding sample counterpart. The asymptotic properties of the proposed test statistic are provided under the null hypothesis as well as under specific alternatives. A bootstrap version of the test is explored in a Monte–Carlo study and illustrated on a real data set on road safety.

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来源期刊

Test 数学-统计学与概率论

CiteScore

2.20

自引率

7.70%

发文量

审稿时长

>12 weeks

期刊介绍： TEST is an international journal of Statistics and Probability, sponsored by the Spanish Society of Statistics and Operations Research. English is the official language of the journal. The emphasis of TEST is placed on papers containing original theoretical contributions of direct or potential value in applications. In this respect, the methodological contents are considered to be crucial for the papers published in TEST, but the practical implications of the methodological aspects are also relevant. Original sound manuscripts on either well-established or emerging areas in the scope of the journal are welcome. One volume is published annually in four issues. In addition to the regular contributions, each issue of TEST contains an invited paper from a world-wide recognized outstanding statistician on an up-to-date challenging topic, including discussions.