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First-order random coefficient integer-valued autoregressive processes |
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| Authors: | Haitao Zheng Ishwar V. Basawa Somnath Datta |
| Affiliation: | 1. Department of Statistics, University of Georgia, Athens, GA 30602, USA;2. Department of Bioinformatics and Biostatistics, University of Louisville, Louisville, KY 40202, USA |
| Abstract: | A first-order random coefficient integer-valued autoregressive (RCINAR(1)) model is introduced. Ergodicity of the process is established. Moments and autocovariance functions are obtained. Conditional least squares and quasi-likelihood estimators of the model parameters are derived and their asymptotic properties are established. The performance of these estimators is compared with the maximum likelihood estimator via simulation. |
| Keywords: | Models of count data Thinning models INAR models Random coefficient models Conditional least squares Quasi-likelihood Maximum likelihood Asymptotic distributions |
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