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INFERENCE FOR A SPECIAL BILINEAR TIME‐SERIES MODEL
Author(s) -
Ling Shiqing,
Peng Liang,
Zhu Fukang
Publication year - 2015
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/jtsa.12092
Subject(s) - mathematics , inference , series (stratigraphy) , bilinear interpolation , time series , econometrics , statistics , algorithm , artificial intelligence , computer science , paleontology , biology
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.