Abstract
In the present paper, minimum Hellinger distance estimates for parameters of a bilinear time series model are presented. The probabilistic properties such as stationarity, existence of moments of the stationary distribution and strong mixing property of the model are well known (see for instance [J. Liu, A note on causality and invertibility of a general bilinear time series model, Adv. Appl. Probab. 22 (1990) 247–250; J. Liu, P.J. Brockwell, On the general bilinear time series model, J. Appl. Probab. 25 (1988) 553–564; D.T. Pham, The mixing property of bilinear and generalised random coefficients autoregressive models, Stoch. Process Appl. 23 (1986) 291–300]). We establish, under some mild conditions, the consistency and the asymptotic normality of the minimum Hellinger distance estimates of the parameters of the model.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
