On the first-order bilinear time series model

1 September 1981

journal article
research article
Published by Cambridge University Press (CUP) in Journal of Applied Probability

Vol. 18 (03) , 617-627
https://doi.org/10.1017/s0021900200098417

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 MODELS
COVARIANCE FUNCTION
INVERTIBILITY
LEAST SQUARES ESTIMATE
STATIONARITY
STRONG CONSISTENCY

This publication has 1 reference indexed in Scilit:

On the invertibility of time series models
Stochastic Processes and their Applications, 1978