Periodic integer-valued bilinear time series model. Issue 3 (1st February 2017)

• Record Type: Journal Article
• Authors: Bentarzi, Mohamed; Bentarzi, Wissam
• Is Part Of: Communications in statistics. Volume 46:Issue 3(2017)
• Page Start: 1184
• Page End: 1201
• Publication Date: 2017-02-01
• Subjects: 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.; 62F12 -- 62M10; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2015.1014107
• Languages: English
• ISSNs: 0361-0926

Abstract

ABSTRACT: 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.