A geometric time series model with dependent Bernoulli counting series


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

E-mail: miristic72@gmail.com


A new stationary first-order integer-valued autoregressive process with geometric marginal distribution based on the generalized binomial thinning is introduced. The model involves dependent count variables. Some properties of the process are determined. A set of estimators are obtained, and their asymptotic distributions are considered. Some numerical results of the estimates are presented. Possible application of the process is discussed through the real data example.