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 On the non-negative first-order exponential bilinear time series model
Please use this identifier to cite or link to this item http://hdl.handle.net/10773/4431

title: On the non-negative first-order exponential bilinear time series model
authors: Pereira, I
Scotto, MG
keywords: bilinear processes
tail index
Whittle criterion
Bayesian estimation
issue date: 2006
publisher: Elsevier
abstract: In this paper the bilinear model BL(1,0,1,1) driven by exponential distributed innovations is studied in some detail. Conditions under which the model is strictly stationary as well as some properties of the stationary distribution are discussed. Moreover, parameter estimation is also addressed. (C) 2005 Elsevier B.V. All rights reserved.
URI: http://hdl.handle.net/10773/4431
ISSN: 0167-7152
publisher version/DOI: http://www.sciencedirect.com/science/article/pii/S0167715205004098
source: STATISTICS & PROBABILITY LETTERS
appears in collectionsMAT - Artigos

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