Note on integer-valued bilinear time series models |
| |
Authors: | Feike C Drost Ramon van den Akker Bas JM Werker |
| |
Institution: | aEconometrics and Finance Group, CentER, Tilburg University, The Netherlands |
| |
Abstract: | This note reconsiders the nonnegative integer-valued bilinear processes introduced by Doukhan et al. Doukhan, P., Latour, A., Oraichi, D., 2006. A simple integer-valued bilinear time series model. Adv. Appl. Prob. 38, 559–578]. Using a hidden Markov argument, we extend their result of the existence of a stationary solution for the INBL(1, 0, 1, 1) process to the class of superdiagonal models. Our approach also yields improved parameter restrictions for several moment conditions compared to the ones in Doukhan, P., Latour, A., Oraichi, D., 2006. A simple integer-valued bilinear time series model. Adv. Appl. Prob. 38, 559–578]. |
| |
Keywords: | |
本文献已被 ScienceDirect 等数据库收录! |
|