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A note on the autocorrelations related to a bilinear model with non-independent shocks

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  • Martins, C. M.

Abstract

For the simple bilinear model introduced by Granger and Andersen (1978), formulas for the first k - 1 autocorrelations of the squared series are obtained, assuming that the error process is strictly stationary and ergodic, and has some conditional moments given the past information that are finite.

Suggested Citation

  • Martins, C. M., 1997. "A note on the autocorrelations related to a bilinear model with non-independent shocks," Statistics & Probability Letters, Elsevier, vol. 36(3), pages 245-250, December.
    • Handle: RePEc:eee:stapro:v:36:y:1997:i:3:p:245-250
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    References listed on IDEAS

    as
    1. Andrew A. Weiss, 1984. "Arma Models With Arch Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 5(2), pages 129-143, March.
    2. Quinn, B. G., 1982. "Stationarity and invertibility of simple bilinear models," Stochastic Processes and their Applications, Elsevier, vol. 12(2), pages 225-230, March.
    3. W. K. Li, 1984. "On The Autocorrelation Structure And Identification Of Some Bilinear Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 5(3), pages 173-181, May.
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