IDEAS home Printed from https://ideas.repec.org/a/taf/lstaxx/v49y2020i16p4046-4072.html
   My bibliography  Save this article

Yule-Walker type estimator of first-order time-varying periodic bilinear differential model for stochastic processes

Author

Listed:
  • Abdelouahab Bibi
  • Fateh Merahi

Abstract

This paper, studies the class of diffusion processes generated by a first-order continuous-time bilinear processes (COBL(1, 1)) with time-varying coefficients. So, we used the Itô formula approach for examining the L2−structure of the process and its powers. In time-invariant case, an expression of the moments of any order are given and the continuous autoregressive (CAR) representation of such version is given, in particular the moments properties of some specifications are however derived. Based on these results we are able to examine the statistical properties as well as we develop an estimation method of the process via the so-called Yule-Walker (YW) type algorithm which relates with unknown parameters of CAR representation. The method is illustrated by a Monte Carlo study and applied to modeling the electricity consumption sampled at each 15 mn in Algeria.

Suggested Citation

  • Abdelouahab Bibi & Fateh Merahi, 2020. "Yule-Walker type estimator of first-order time-varying periodic bilinear differential model for stochastic processes," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(16), pages 4046-4072, August.
    • Handle: RePEc:taf:lstaxx:v:49:y:2020:i:16:p:4046-4072
    DOI: 10.1080/03610926.2019.1594300
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/03610926.2019.1594300
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/03610926.2019.1594300?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bareche, Aîcha & Bibi, Abdelouahab, 2023. "On inverse-Gamma distribution delayed by Poisson process," Statistics & Probability Letters, Elsevier, vol. 195(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:lstaxx:v:49:y:2020:i:16:p:4046-4072. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/lsta .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.