Hellinger distance estimation of general bilinear time series models

In the present paper, minimum Hellinger distance estimates for parameters of a bilinear time series model are presented. The probabilistic properties such as stationarity, existence of moments of the stationary distribution and strong mixing property of the model are well known (see for instance [J. Liu, A note on causality and invertibility of a general bilinear time series model, Adv. Appl. Probab. 22 (1990) 247–250; J. Liu, P.J. Brockwell, On the general bilinear time series model, J. Appl. Probab. 25 (1988) 553–564; D.T. Pham, The mixing property of bilinear and generalised random coefficients autoregressive models, Stoch. Process Appl. 23 (1986) 291–300]). We establish, under some mild conditions, the consistency and the asymptotic normality of the minimum Hellinger distance estimates of the parameters of the model.