Change point estimation under a copula-based Markov chain model for binomial time series

Takeshi Emura, Ching Chieh Lai, Li Hsien Sun

研究成果: 雜誌貢獻期刊論文同行評審

2 引文 斯高帕斯(Scopus)

摘要

Estimation of a change point is a classical statistical problem in sequential analysis and process control. For binomial time series, the existing maximum likelihood estimators (MLEs) for a change point are limited to independent observations. If the independence assumption is violated, the MLEs substantially lose their efficiency, and a likelihood function provides a poor fit to the data. A novel change point estimator is proposed under a copula-based Markov chain model for serially dependent observations. The main novelty is the adaptation of a three-state copula model, consisting of the in-control state, out-of-control state, and transition state. Under this model, a MLE is proposed with the aid of profile likelihood. A parametric bootstrap method is adopted to compute a confidence set for the unknown change point. The simulation studies show that the proposed MLE is more efficient than the existing estimators when serial dependence in observations are specified by the model. The proposed method is illustrated by the jewelry manufacturing data, where the proposed model gives an improved fit.

原文???core.languages.en_GB???
期刊Econometrics and Statistics
DOIs
出版狀態已被接受 - 2022

指紋

深入研究「Change point estimation under a copula-based Markov chain model for binomial time series」主題。共同形成了獨特的指紋。

引用此