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Properties of some bilinear models with periodic regime switching

Author

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  • Bibi, Abdelouahab
  • Ringo Ho, Moon-ho

Abstract

In this note, we present conditions for the existence and uniqueness of stable causal solution for bilinear time series with periodic coefficients. Conditions for the existence of higher-order moments and invertibility are also given.

Suggested Citation

  • Bibi, Abdelouahab & Ringo Ho, Moon-ho, 2004. "Properties of some bilinear models with periodic regime switching," Statistics & Probability Letters, Elsevier, vol. 69(3), pages 221-231, September.
    • Handle: RePEc:eee:stapro:v:69:y:2004:i:3:p:221-231
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    References listed on IDEAS

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    1. Bibi, Abdelouahab & Oyet, Alwell J., 2002. "A note on the properties of some time varying bilinear models," Statistics & Probability Letters, Elsevier, vol. 58(4), pages 399-411, July.
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    Cited by:

    1. Aknouche, Abdelhakim & Guerbyenne, Hafida, 2009. "Periodic stationarity of random coefficient periodic autoregressions," Statistics & Probability Letters, Elsevier, vol. 79(7), pages 990-996, April.

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