Abstract:

We studied the parameter estiamtion for the INAR(1) model by Bayes method, compared the Bayes estiamtor with YuleWalker estimator, the conditional least squares estimator, and the maximum likelihood estimator via simulation. The simulation results state that Bayes estimator is better than others in some situation.

Key words: INAR(1) model, Bayesian estimate, cumulants, spectral analysis