A new skew integer valued time series process

In this paper, we introduce a stationary first-order integer-valued autoregressive process with geometric–Poisson marginals. The new process allows negative values for the series. Several properties of the process are established. The unknown parameters of the model are estimated using the Yule–Walker method and the asymptotic properties of the estimator are considered. Some numerical results of the estimators are presented with a brief discussion. Possible application of the process is discussed through a real data example.