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A pth-order random coefficients mixed binomial autoregressive process with explanatory variables

Author

Listed:
  • Han Li

    (Changchun University
    Changchun University of Technology)

  • Zijian Liu

    (Changchun University of Technology)

  • Kai Yang

    (Changchun University of Technology)

  • Xiaogang Dong

    (Changchun University of Technology)

  • Wenshan Wang

    (Changchun University of Technology)

Abstract

To capture the higher-order autocorrelation structure for finite-range integer-valued time series of counts, and to consider the driving effect of covariates on the underlying process, this paper introduces a pth-order random coefficients mixed binomial autoregressive process with explanatory variables. The basic probabilistic and statistical properties of the model are discussed. Conditional least squares and conditional maximum likelihood estimators, as well as their asymptotic properties of the estimators are obtained. Moreover, the existence test of explanatory variables are well addressed using a Wald-type test. Forecasting problem is also considered. Finally, some numerical results of the estimators and a real data example are presented to show the performance of the proposed model.

Suggested Citation

  • Han Li & Zijian Liu & Kai Yang & Xiaogang Dong & Wenshan Wang, 2024. "A pth-order random coefficients mixed binomial autoregressive process with explanatory variables," Computational Statistics, Springer, vol. 39(5), pages 2581-2604, July.
    • Handle: RePEc:spr:compst:v:39:y:2024:i:5:d:10.1007_s00180-023-01396-8
    DOI: 10.1007/s00180-023-01396-8
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    References listed on IDEAS

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