A simple integer-valued bilinear time series model - Archive ouverte HAL
Article Dans Une Revue Advances in Applied Probability Année : 2006

A simple integer-valued bilinear time series model

Résumé

In this paper, we extend the integer-valued model class to give a nonnegative integer-valued bilinear process, denoted by INBL(p,q,m,n), similar to the real-valued bilinear model. We demonstrate the existence of this strictly stationary process and give an existence condition for it. The estimation problem is discussed in the context of a particular simple case. The method of moments is applied and the asymptotic joint distribution of the estimators is given: it turns out to be a normal distribution. We present numerical examples and applications of the model to real time series data on meningitis and Escherichia coli infections.

Dates et versions

hal-00267627 , version 1 (27-03-2008)

Identifiants

Citer

Paul Doukhan, Alain Latour, D. Oraichi. A simple integer-valued bilinear time series model. Advances in Applied Probability, 2006, 38 (2), pp.559-578. ⟨10.1239/aap/1151337085⟩. ⟨hal-00267627⟩
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