Abstract
In this paper, we propose the first-order stationary integer-valued autoregressive process with the cosine Poisson innovation, based on the negative binomial thinning operator. It can be equi-dispersed, under-dispersed and over-dispersed. Therefore, it is flexible for modelling integer-valued time series. Some statistical properties of the process are derived. The parameters of the process are estimated by two methods of estimation and the performances of the estimators are evaluated via some simulation studies. Finally, we demonstrate the usefulness of the proposed model by modelling and analyzing some practical count time series data on the daily deaths of COVID-19 and the drug calls data.
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