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Note on integer-valued bilinear time series models

Listed author(s):
  • Drost, F.C.

    (Tilburg University, School of Economics and Management)

  • van den Akker, R.

    (Tilburg University, School of Economics and Management)

  • Werker, B.J.M.

    (Tilburg University, School of Economics and Management)

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].

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Paper provided by Tilburg University, School of Economics and Management in its series Other publications TiSEM with number aaf4f3fe-f141-4784-89b5-0d5ccd3e983f.

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Date of creation: 2008
Publication status: Published in Statistics & probability letters (2008), v.78, nr.8, p.992-996
Handle: RePEc:tiu:tiutis:aaf4f3fe-f141-4784-89b5-0d5ccd3e983f
Contact details of provider: Web page: https://www.tilburguniversity.edu/about/schools/economics-and-management/

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