First-order random coefficient integer-valued autoregressive processes
First-order random coefficient integer-valued autoregressive processes
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DOI：
10.1016/j.jspi.2005.12.003
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发表时间：
2007-01-01
影响因子：
0.9
通讯作者：
Datta, Somnath
中科院分区：
文献类型：
--
作者：
Zheng, Haitao;Basawa, Ishwar V.;Datta, Somnath
提出了一种一阶随机系数整值自回归（RCINAR（1））模型。建立了过程的遍历性。得到了矩和自协方差函数。导出了模型参数的条件最小二乘和拟似然估计，并建立了它们的渐近性质。这些估计的性能进行了比较，通过模拟与最大似然估计。(c)2006 Elsevier B.V.保留所有权利。
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. (c) 2006 Elsevier B.V. All rights reserved.