Title: High order random coefficient INAR model and simulations

Authors: Qingqing Zhan; Yunyan Wang

Addresses: School of Science, Jiangxi University of Science and Technology, No. 86, Hongqi Ave., Ganzhou, 341000, Jiangxi, China ' School of Science, Jiangxi University of Science and Technology, No. 86, Hongqi Ave., Ganzhou, 341000, Jiangxi, China

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.

Keywords: random environmental process; generalised signed thinning operator; integer valued time series; Yule-Walker estimation.

DOI: 10.1504/IJCSE.2021.119972

International Journal of Computational Science and Engineering, 2021 Vol.24 No.6, pp.587 - 597

Received: 02 Sep 2020
Accepted: 18 Jan 2021
Published online: 04 Jan 2022 *

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