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On the first-order bilinear time series model

Published online by Cambridge University Press:  14 July 2016

Tuan Dinh Pham and
Lanh Tat Tran
Tuan Dinh Pham*
Affiliation:
Indiana University
Lanh Tat Tran*
Affiliation:
Indiana University
*
∗ Postal address: Department of Mathematics, Indiana University, Bloomington, IN 47405, U.S.A.
∗ Postal address: Department of Mathematics, Indiana University, Bloomington, IN 47405, U.S.A.
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Abstract

The paper investigates some properties of the first-order bilinear time series model: stationarity and invertibility. Estimates of the parameters are obtained by a modified least squares method and shown to be strongly consistent.

Keywords

BILINEAR MODELSCOVARIANCE FUNCTIONINVERTIBILITYLEAST SQUARES ESTIMATESTATIONARITYSTRONG CONSISTENCY

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 18 , Issue 3 , September 1981, pp. 617 - 627
Copyright
Copyright © Applied Probability Trust 

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Footnotes

Research partly supported by NSF Grant No. MCS 76–00951.

References

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