THE INTEGER‐VALUED AUTOREGRESSIVE (INAR(<i>p</i>)) MODEL

Abstract

Abstract. The integer‐valued autoregressive (INAR) model with lag p dependence is discussed. The existence and ergodic property of the INAR model are proved. It is shown that the correlation structure of the INAR model is similar to that of the continuous‐valued autoregressive (AR) process, and the stationary conditions of INAR and AR processes are also the same.