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Multiple Change Point Detection for INAR Model

DOI: 10.12677/hjdm.2024.142009, PP. 102-115

Keywords: INAR模型,变点探测,似然比扫描方法
INAR Model
, Change Point Detection, Likelihood Ratio Scanning Method

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This paper considers the multiple change-points problem in piecewise stationary integer-valued autoregressive model. Using the Minimum Description Length function, the likelihood ratio scanning method is obtained and applied to the piecewise stationary integer-value autoregressive model. In addition, when the sum of the model coefficients tends to 1, the Minimum Description Length function in the likelihood ratio scanning method is adjusted to improve the accuracy of the change point detection. Then, through many numerical simulations, the effectiveness of the likelihood ratio scanning method in different model parameter settings was verified. Finally, it was applied to the empirical analysis of the daily observations of the score achieved by a schizophrenic patient on a test of perceptual speed.


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