Note on integer-valued bilinear time series models
This note reconsiders the nonnegative integer-valued bilinear processes introduced by Doukhan etÂ 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].
(This abstract was borrowed from another version of this item.)
|Date of creation:||2008|
|Publication status:||Published in Statistics & probability letters (2008), v.78, nr.8, p.992-996|
|Contact details of provider:|| Web page: https://www.tilburguniversity.edu/about/schools/economics-and-management/|
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