A special integer-valued bilinear time series model with applications

Year 2022, Volume: 51 Issue: 5, 1458 - 1471, 01.10.2022

Sakineh Ramezani Mehrnaz Mohammadpour

Abstract

The present work proposes a special integer-valued bilinear time series model based on the thinning operators. Basic probabilistic and statistical properties of this class of models are discussed. Moreover, parameter estimation methods in the time and frequency domains and forecasting are addressed. Finally, the performances of the estimation methods are illustrated through a simulation study and an empirical application to two data sets.

Keywords

integer-valued bilinear process, sieve bootstrap prediction, spectral density function, thinning operator, Whittle criterion

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