A special integer-valued bilinear time series model with applications

The present work proposes a special integer-valued bilinear time series model based on the thinning operators. Basic probabilistic and statistical properties of this class of models are discussed. Moreover, parameter estimation methods in the time and frequency domains and forecasting are addressed. Finally, the performances of the estimation methods are illustrated through a simulation study and an empirical application to two data sets.

Keywords:

integer-valued bilinear process, sieve bootstrap prediction, spectral density function thinning operator, Whittle criterion,

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Hacettepe Journal of Mathematics and Statistics-Cover

Yayın Aralığı: Yılda 6 Sayı
Başlangıç: 2002
Yayıncı: Hacettepe Üniversitesi Fen Fakultesi

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