First-order random coefficient INAR process with dependent counting series

Abstract

In this paper, we propose a first-order random coefficient integer-valued autoregressive process with dependent counting series. Some moments and stationary ergodicity of the process are established. The maximum-likelihood estimators of the parameters of interest are presented. We conduct some simulation studies to assess the performance of our method. An example about crime data is provided for practical application.

Keywords:

• Asymptotic property
• Dependent counting series
• INAR model
• Random coefficient
• Thinning operator

Acknowledgments

The authors would like to thank the Editor, the Associate Editor, and the reviewer for their constructive and insightful comments and suggestions that greatly improved the manuscript.