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Bentarzi, Mohamed; Bentarzi, Wissam

Periodic integer-valued bilinear time series model. (English) Zbl 1360.62091

Commun. Stat., Theory Methods 46, No. 3, 1184-1201 (2017).
Summary: This paper deals with the study of some probabilistic and statistical properties of a periodic integer-valued diagonal bilinear model. The existence of a periodically strict stationary integer-valued process is shown. Sufficient conditions for the periodically stationary, both in the first and second orders, are established. The closed-forms of the mean and the second moment are obtained. The closed-form of the periodic autocovariance function is established. The Yule-Walker estimations of the underlying parameters are obtained. A simulation study is provided.

Cited in 14 Documents

MSC:

62F12 Asymptotic properties of parametric estimators
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)

Keywords:

periodic integer-valued diagonal bilinear model; periodically causal model; periodically correlated integer-valued process; strictly and second moment periodically correlated integer-valued process; Yule-Walker estimations
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References:

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