On the non-negative first-order exponential bilinear time series model

I. Pereira and M.G. Scotto

Statistics & Probability Letters, 2006, vol. 76, issue 9, 931-938

Abstract: In this paper the bilinear model BL(1,0,1,1) driven by exponential distributed innovations is studied in some detail. Conditions under which the model is strictly stationary as well as some properties of the stationary distribution are discussed. Moreover, parameter estimation is also addressed.

Keywords: Bilinear; processes; Tail; index; Whittle; criterion; Bayesian; estimation (search for similar items in EconPapers)
Date: 2006
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