On Fisher’s dispersion test for integer-valued autoregressive Poisson models with applications |
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Authors: | Sangyeol Lee Siyun Park |
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Institution: | 1. Department of Statistics, Seoul National University, Seoul, Korea;2. Korea University Business School, Seoul, Korea |
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Abstract: | The integer-valued autoregressive (INAR) model has been widely used in diverse fields. Since the task of identifying the underlying distribution of time-series models is a crucial step for further inferences, we consider the goodness-of-fit test for the Poisson assumption on first-order INAR models. For a test, we employ Fisher’s dispersion test due to its simplicity and then derive its null limiting distribution. As an illustration, a simulation study and real data analysis are conducted for the counts of coal mining disasters, the monthly crime data set from New South Wales, and the annual numbers of worldwide earthquakes. |
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Keywords: | Coal mining disasters in the United Kingdom Fisher’s dispersion test goodness of fit test Poisson with a break time series of counts |
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