Inference for INAR(p)INAR(p) processes with signed generalized power series thinning operator

We propose a ppth-order integer-valued autoregressive processes with signed generalized power series thinning operator. Strict stationarity, ergodicity of the process, the moments and autocovariance functions are obtained. We derive Yule–Walker and conditional least squares estimators for the parameters in the model and their asymptotic properties are established. The performances of these estimators are compared via simulation, we also study the robustness of these estimates. At last, the model is applied to a real data set.