Abstract
In this paper, we introduce a new (combined) integer-valued autoregressive model of order p with geometric marginal distributions, denoted by CGINAR(p), using the negative binomial thinning introduced by Ristic et al. [19]. Several properties of the model are constructed and discussed, including one-step ahead conditional statistical measures. Some methods for estimating the model parameters are considered and the asymptotic properties of the obtained estimators are derived. A real-life data example is investigated to assess the performance of the model. (C) 2011 Elsevier Ltd. All rights reserved.