Testowanie stacjonarności w autoregresyjnym modelu Poissona
Stationarity testing in AR(1) Poisson model

Summary/Abstract: In this paper conditions of stationarity for AR(1) Poisson model are formulated. First condition concerns “survivorship parameter” and second condition concerns “arrival parameter”. Methods of testing of these conditions are presented. Method of testing hypothesis alfa = 1 is based on conditional least squares estimation. Critical values are given in this article and power of the proposed test is investigated. The results are optimistic. In the case of “arrival parameter” the method of testing is based on Lagrange'a Multiplier Test and appropriate test statistic is derived.

• Details
• Contents