A new integer valued AR(1) process with Poisson-Lindley innovations
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In this paper, we introduce the first-order integer-valued autoregressive (INAR(1)) model, with Poisson-Lindley innovations based on two binomial and negative binomial thinning operators. Some mathematical features of these processes are given and estimating the parameters is discussed by three methods; conditional least squares, Yule- Walker equations and conditional maximum likelihood. Finally, some numerical results are presented with a discussion to the obtained results. Two real data sets are used to show the potentially of the new process.
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