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On some distributional properties of a first-order nonnegative bilinear time series model
Published online by Cambridge University Press: 14 July 2016
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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- Copyright © by the Applied Probability Trust 2001
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