STATIONARITY AND CENTRAL LIMIT THEOREM ASSOCIATED WITH BILINEAR TIME SERIES MODELS

Kamal C. Chanda

Journal of Time Series Analysis, 1991, vol. 12, issue 4, 301-313

Abstract: Abstract. Consider the general bilinear times series model where {Xt; t= 0, L1, …} is a p‐variate process, C(p x (s+ 1)), A(p x p). Bt(p x p) (1 ≤j≤q) are arbitrary matrices of constants, εT=[εt,…εt‐q+1] and {εt; t=0, ±1, …} is a strictly stationary ergodic sequence of random variables. We investigate a set of minimal regularity conditions (on C, A, Bj and {εt}) under which we can establish the existence and causality of Xt and the asymptotic normality of the sample mean derived from {Xt}.

Date: 1991
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