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On periodic time-varying bilinear processes: structure and asymptotic inference

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  • Abdelouahab Bibi

    (UMC(1))

  • Ahmed Ghezal

    (UMC(1))

Abstract

This paper is devoted to the bilinear time series models with periodic-varying coefficients $$\left( { PBL}\right) $$ P B L . So, firstly conditions ensuring the existence of periodic stationary solutions of the $${ PBL}$$ P B L and the existence of higher-order moments of such solutions are given. A distribution free approach to the parameter estimation of $${ PBL}$$ P B L is presented. The proposed method relies on minimum distance estimator based on the first and second order empirical moments of the observed process. Consistency and asymptotic normality of the estimator are discussed. Examples and Monte Carlo simulation results illustrate the practical relevancy of our general theoretical results are presented.

Suggested Citation

  • Abdelouahab Bibi & Ahmed Ghezal, 2016. "On periodic time-varying bilinear processes: structure and asymptotic inference," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 25(3), pages 395-420, August.
    • Handle: RePEc:spr:stmapp:v:25:y:2016:i:3:d:10.1007_s10260-015-0344-5
    DOI: 10.1007/s10260-015-0344-5
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    References listed on IDEAS

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    1. Dennis Kristensen, 2009. "On stationarity and ergodicity of the bilinear model with applications to GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 125-144, January.
    2. T. Grahn, 1995. "A Conditional Least Squares Approach To Bilinear Time Series Estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(5), pages 509-529, September.
    3. Richard T. Baillie & Huimin Chung, 2001. "Estimation of GARCH Models from the Autocorrelations of the Squares of a Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(6), pages 631-650, November.
    4. Christian Francq & Roch Roy & Abdessamad Saidi, 2011. "Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 699-723, November.
    5. Abdelouahab Bibi & Christian Francq, 2003. "Consistent and asymptotically normal estimators for cyclically time-dependent linear models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 55(1), pages 41-68, March.
    6. Bibi, Abdelouahab & Lessak, Radia, 2009. "On stationarity and [beta]-mixing of periodic bilinear processes," Statistics & Probability Letters, Elsevier, vol. 79(1), pages 79-87, January.
    7. Tieslau, Margie A. & Schmidt, Peter & Baillie, Richard T., 1996. "A minimum distance estimator for long-memory processes," Journal of Econometrics, Elsevier, vol. 71(1-2), pages 249-264.
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