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.