First-order integer-valued autoregressive process with Markov-switching coefficients

Feilong Lu and Dehui Wang

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 13, 4313-4329

Abstract: A class of integer-valued autoregressive models is considered, which are based on a latten process e.g., a Markov chain. Some statistical properties of this class of models are discussed. Moreover, parameter estimation and forecasting are addressed. A Monte Carlo simulation study is conducted to examine the finite sample performance of the given estimation procedure. Finally, the performance of these models is illustrated by empirical applications to two sets of real counts.

Date: 2022
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DOI: 10.1080/03610926.2020.1813302

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