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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.

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