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Periodic integer-valued bilinear time series model |
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| Authors: | Mohamed Bentarzi Wissam Bentarzi |
| Institution: | Faculty of Mathematics, University of Science and Technology Houari Boumediene, Algiers, Algeria |
| Abstract: | This paper deals with the study of some probabilistic and statistical properties of a periodic integer-valued diagonal bilinear model. The existence of a periodically strict stationary integer-valued process is shown. Sufficient conditions for the periodically stationary, both in the first and second orders, are established. The closed-forms of the mean and the second moment are obtained. The closed-form of the periodic autocovariance function is established. The Yule–Walker estimations of the underlying parameters are obtained. A simulation study is provided. |
| Keywords: | Periodic integer-valued diagonal bilinear model periodically causal model periodically correlated integer-valued process strictly and second moment periodically correlated integer-valued process Yule–Walker estimations |