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Generalized integer-valued random coefficient for a first order structure autoregressive (RCINAR) process. (English) Zbl 1183.62149
Summary: A random coefficient autoregressive process for count data based on a generalized thinning operator is presented. Existence and weak stationarity conditions for these models are established. For the particular case of the (generalized) binomial thinning, it is proved that the necessary and sufficient conditions for weak stationarity are the same as those for continuous-valued AR(1) processes. These kinds of processes are appropriate for modelling nonlinear integer-valued time series. They allow for over-dispersion and are appropriate when including covariates. Model parameters estimators are calculated and their properties studied analytically and/or through simulation.
##### MSC:
 62M10 Time series, auto-correlation, regression, etc. (statistics) 65C60 Computational problems in statistics
##### References:
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