# Inference for nonstationary time series of counts with application to change-point problems

@article{Kengne2022InferenceFN, title={Inference for nonstationary time series of counts with application to change-point problems}, author={William Kengne and Isidore S'eraphin Ngongo}, journal={Annals of the Institute of Statistical Mathematics}, year={2022}, volume={74}, pages={801-835} }

We consider an integer-valued time series $$(Y_t)_{t\in {\mathbb {Z}}}$$ ( Y t ) t ∈ Z where the model after a time $$k^*$$ k ∗ is Poisson autoregressive with the conditional mean that depends on a parameter $$\theta ^*\in \varTheta \subset {\mathbb {R}}^d$$ θ ∗ ∈ Θ ⊂ R d . The structure of the process before $$k^*$$ k ∗ is unknown; it could be any other integer-valued process, that is, $$(Y_t)_{t\in {\mathbb {Z}}}$$ ( Y t ) t ∈ Z could be nonstationary. It is established that the maximum…

## One Citation

Poisson QMLE for change-point detection in general integer-valued time series models

- MathematicsMetrika
- 2021

We consider together the retrospective and the sequential change-point detection in a general class of integer-valued time series. The conditional mean of the process depends on a parameter $$\theta…

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