Advances in Difference Equations (Dec 2019)
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.
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