Note on Integer-Valued Bilinear Time Series Models

Feike C. Drost, Ramon van den Akker, Bas J. M. Werker
2007 Social Science Research Network  
Note on integer-valued bilinear time series models Drost, Feico; van den Akker, Ramon; Werker, Bas Summary. This note reconsiders the nonnegative integer-valued bilinear processes introduced by Doukhan, Latour, and Oraichi (2006) . Using a hidden Markov argument, we extend their result of the existence of a stationary solution for the INBL(1,0,1,1) process to the class of superdiagonal INBL(p, q, m, n) models. Our approach also yields improved parameter restrictions for several moment
more » ... al moment conditions compared to the ones in Doukhan, Latour, and Oraichi (2006) .
doi:10.2139/ssrn.1004283 fatcat:67ptbzobozbbtkayv6x3n6xzge