Article ID Journal Published Year Pages File Type
1155017 Statistics & Probability Letters 2006 8 Pages PDF
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
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
On the non-negative first-order exponential bilinear time series model
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