On some distributional properties of a first-order nonnegative bilinear time series model
Zhiqiang Zhang and Howell Tong
Source: J. Appl. Probab. Volume 38, Number 3
(2001), 659-671.
Abstract
We study a simple first-order nonnegative bilinear time-series model and give conditions under which the model is stationary. The probability density function of the stationary distribution (when it exists) is found. We also discuss the tail behaviour of the stationary distribution and calculate the probability density function by a numerical method. Simulation is used to check the calculation.
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Keywords: Bilinear time-series model; essential upper bound; essential lower bound; second-order stationary; key renewal theorem; tail behaviour
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1005091030
Digital Object Identifier: doi:10.1239/jap/1005091030
Mathematical Reviews number (MathSciNet): MR1860204
Zentralblatt MATH identifier: 0993.60038
Journal of Applied Probability
