Abstract
In this paper, a multinomial autoregressive model for finite-range time series of counts is introduced to analyze the finite-range integer-valued data with more than two states. Basic probabilistic and statistical properties of the model are discussed. The related estimations of the parameters in proposed model are considered using conditional least squares (CLS), weighted conditional least squares (WCLS) and conditional maximum likelihood (CML) methods. The asymptotic properties of the estimators are established. Some simulation studies are conducted to verify the proposed procedure. A real example is analyzed to illustrate the advantages of our model.
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