Estimation for random coefficient integer-valued autoregressive model under random environment

Abstract

Abstract A first-order random coefficient integer-valued autoregressive model based on the negative binomial thinning operator under r states random environment is introduced. This paper derives numerical characteristics of the proposed model, establishes Yule–Walker estimators of model parameters, and discusses the strong consistency of the obtained estimators. Finally, a simulation is carried out to verify the feasibility of parameter estimation.

Keywords

• Integer-valued autoregressive
• Negative binomial thinning
• Random coefficient
• Random environment
• Yule–Walker estimation