Note on Integer-Valued Bilinear Time Series Models

F.C. Drost; R. van den Akker; B.J.M. Werker

Note on Integer-Valued Bilinear Time Series Models

F.C. Drost, R. van den Akker, B.J.M. Werker

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Abstract

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 conditions compared to the ones in Doukhan, Latour, and Oraichi (2006).

Original language	English
Place of Publication	Tilburg
Publisher	Econometrics
Number of pages	7
Volume	2007-47
Publication status	Published - 2007

Publication series

Name	CentER Discussion Paper
Volume	2007-47

Keywords

count data
integer-valued time series
bilinear model

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Dp2007-47

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title = "Note on Integer-Valued Bilinear Time Series Models",

abstract = "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 conditions compared to the ones in Doukhan, Latour, and Oraichi (2006).",

keywords = "count data, integer-valued time series, bilinear model",

author = "F.C. Drost and {van den Akker}, R. and B.J.M. Werker",

note = "Subsequently published in Statistics and Probability Letters, 2008 Pagination: 7",

year = "2007",

language = "English",

volume = "2007-47",

series = "CentER Discussion Paper",

publisher = "Econometrics",

type = "WorkingPaper",

institution = "Econometrics",

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TY - UNPB

T1 - Note on Integer-Valued Bilinear Time Series Models

AU - Drost, F.C.

AU - van den Akker, R.

AU - Werker, B.J.M.

N1 - Subsequently published in Statistics and Probability Letters, 2008 Pagination: 7

PY - 2007

Y1 - 2007

N2 - 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 conditions compared to the ones in Doukhan, Latour, and Oraichi (2006).

AB - 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 conditions compared to the ones in Doukhan, Latour, and Oraichi (2006).

KW - count data

KW - integer-valued time series

KW - bilinear model

M3 - Discussion paper

VL - 2007-47

T3 - CentER Discussion Paper

BT - Note on Integer-Valued Bilinear Time Series Models

PB - Econometrics

CY - Tilburg

ER -

Note on Integer-Valued Bilinear Time Series Models

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