High order random coefficient INAR model and simulations

摘要

This paper develops a high-order INAR model based on random environmental processes, the conditional expectation, conditional variance, and correlation structure of this new process are discussed, Yule-Walker estimators of the parameters in the new model are obtained, and strong consistency of the Yule-Walker estimators is proved. Numerical simulation is studied to test the performance of the estimators in a finite sample.