A special integer-valued bilinear time series model with applications

Authors : Sakineh RAMEZANİ, Mehrnaz MOHAMMADPOUR

Pages : 1458-1471

Doi:10.15672/hujms.989627

View : 35 | Download : 6

Publication Date : 2022-10-01

Article Type : Research Paper

Abstract :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