Random coefficient INAR(p) models are proposed for count data. Stationarity and ergodicity properties are established. Conditional least squares, modified quasi-likelihood and generalized method of moments are used to estimate the model parameters. Asymptotic properties of the estimates are derived. Simulation results on the comparison of the three estimates are reported. The model is applied to a real data set on epileptic seizure.

TR Number: 
H. Zheng, I. V. Basawa and S. Datta

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