Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1148723 | Journal of Statistical Planning and Inference | 2007 | 18 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Haitao Zheng, Ishwar V. Basawa, Somnath Datta,