Note on integer-valued bilinear time series models

Feike C. Drost (), Ramon van den Akker and Bas J.M. Werker

Statistics & Probability Letters, 2008, vol. 78, issue 8, 992-996

Abstract: 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].

Date: 2008
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Citations: View citations in EconPapers (6)

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