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A mixed INAR(p) model


  • 2008 MSC. 62M10

Correspondence to: Miroslav M. Ristić, Faculty of Sciences and Mathematics, University of Nis, Serbia


A mixed integer-valued autoregressive model of order p is proposed. The existence of this unique, stationary and ergodic process is proved and its autocorrelation structure and some conditional stochastic characteristics are derived. Model parameters are estimated via Yule-Walker, conditional least squares and conditional maximum likelihood methods. Finally, possible application of the model to real data sets is considered.

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