Abstract
A new stationary first-order integer-valued autoregressive process with geometric marginal distributions is introduced based on negative binomial thinning. Some properties of the process are established. Estimators of the parameters of the process are obtained using the methods of conditional least squares, Yule-Walker and maximum likelihood. Also, the asymptotic properties of the estimators are derived involving their distributions. Some numerical results of the estimators are presented with a discussion to the obtained results. Real data are used and a possible application is discussed. (C) 2008 Elsevier B.V. All rights reserved.