High order random coefficient INAR model and simulations
by Qingqing Zhan; Yunyan Wang
International Journal of Computational Science and Engineering (IJCSE), Vol. 24, No. 6, 2021

Abstract: This paper develops a high-order INAR model based on random environmental processes, the conditional expectation, conditional variance, and correlation structure of this new process are discussed, Yule-Walker estimators of the parameters in the new model are obtained, and strong consistency of the Yule-Walker estimators is proved. Numerical simulation is studied to test the performance of the estimators in a finite sample.

Online publication date: Tue, 04-Jan-2022

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