Estimation in an Integer-Valued Autoregressive Process with Negative Binomial Marginals (NBINAR(1))

Abstract

The authors consider a stationary integer-valued autoregressive process of the first order with negative binomial marginals (NBINAR(1)). A set of estimators are considered and their asymptotic distributions are derived. Some numerical results of the estimates are presented. Also, the authors discuss a possible application of the process.