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First-order random coefficient integer-valued autoregressive processes. (English) Zbl 1098.62117
Summary: 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.

MSC:
62M10Time series, auto-correlation, regression, etc. (statistics)
62F12Asymptotic properties of parametric estimators
62H10Multivariate distributions of statistics
62E20Asymptotic distribution theory in statistics
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References:
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