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A mixed bilinear INAR(1) model. (English) Zbl 1488.62138

Summary: The paper introduces a new autoregressive model of order one for time series of counts. The model is comprised of a linear as well as nonlinear autoregressive component. These two components are governed by random coefficients. The autoregression is achieved by using the negative binomial thinning operator. The method of moments and the conditional maximum likelihood method are discussed for the parameter estimation. The practicality of the model is presented on a real data set.

MSC:

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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