Note on Integer-Valued Bilinear Time Series Models

  title={Note on Integer-Valued Bilinear Time Series Models},
  author={Feike C. Drost and Ramon van den Akker and Bas J. M. Werker},
This note reconsiders the nonnegative integer-valued bilinear processes introduced by Doukhan, Latour, and Oraichi (2006). Using a hidden Markov argument, we extend their result of the existence of a stationary solution for the INBL(1,0,1,1) process to the class of superdiagonal INBL(p, q, m, n) models. Our approach also yields improved parameter restrictions for several moment conditions compared to the ones in Doukhan, Latour, and Oraichi (2006). 

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