INFERENCE FOR A SPECIAL BILINEAR TIME‐SERIES MODEL. (19th September 2014)

• Record Type: Journal Article
• Authors: Ling, Shiqing; Peng, Liang; Zhu, Fukang
• Is Part Of: Journal of time series analysis. Volume 36:Number 1(2015:Jan.)
• Page Start: 61
• Page End: 66
• Publication Date: 2014-09-19
• Subjects: Time-series analysis -- Periodicals; 519.232
• DOI: 10.1111/jtsa.12092
• Languages: English
• ISSNs: 0143-9782

Abstract

<abstract abstract-type="main" id="jtsa12092-abs-0001"> <title> <x xml:space="preserve">Abstract</x> </title> <p id="jtsa12092-para-0001">It is well known that estimating bilinear models is quite challenging. Many different ideas have been proposed to solve this problem. However, there is not a simple way to do inference even for its simple cases. This article proposes a generalized autoregressive conditional heteroskedasticity‐type maximum likelihood estimator for estimating the unknown parameters for a special bilinear model. It is shown that the proposed estimator is consistent and asymptotically normal under only finite fourth moment of errors.</p> </abstract>