Nonstationary INAR(1) process with \(q\)th-order autocorrelation innovation (Q370343)

Summary: This paper is concerned with an integer-valued random walk process with \(q\)\,th-order autocorrelation. Some limit distributions of the sums of the nonstationary process are obtained. The limit distributions of conditional least squares estimators of the autoregressive coefficients in an auxiliary regression process are derived. The performance of the autoregressive coefficient estimators is assessed through Monte Carlo simulations.