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

• Author(s): Pereira, I ; Scotto, MG
• Date: 2006
• Persistent ID: http://hdl.handle.net/10773/4431
• Origin: RIA - Repositório Institucional da Universidade de Aveiro
• Subject(s): bilinear processes; tail index; Whittle criterion; Bayesian estimation
• Document Type: Article
• Language: English

Description

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. (C) 2005 Elsevier B.V. All rights reserved.