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On the non-negative first-order exponential bilinear time series model

Author

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  • Pereira, I.
  • Scotto, M.G.

Abstract

In this paper the bilinear model BL(1,0,1,1) driven by exponential distributed innovations is studied in some detail. Conditions under which the model is strictly stationary as well as some properties of the stationary distribution are discussed. Moreover, parameter estimation is also addressed.

Suggested Citation

  • Pereira, I. & Scotto, M.G., 2006. "On the non-negative first-order exponential bilinear time series model," Statistics & Probability Letters, Elsevier, vol. 76(9), pages 931-938, May.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:9:p:931-938
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    References listed on IDEAS

    as
    1. Basrak, Bojan & Davis, Richard A. & Mikosch, Thomas, 1999. "The sample ACF of a simple bilinear process," Stochastic Processes and their Applications, Elsevier, vol. 83(1), pages 1-14, September.
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