INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL

Shiqing Ling, Liang Peng and Fukang Zhu

Journal of Time Series Analysis, 2015, vol. 36, issue 1, 61-66

Abstract: type="main" xml:id="jtsa12092-abs-0001"> It is well known that estimating bilinear models is quite challenging. Many different ideas have been proposed to solve this problem. However, there is not a simple way to do inference even for its simple cases. This article proposes a generalized autoregressive conditional heteroskedasticity-type maximum likelihood estimator for estimating the unknown parameters for a special bilinear model. It is shown that the proposed estimator is consistent and asymptotically normal under only finite fourth moment of errors.

Date: 2015
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