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QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations

Abdelouahab Bibi, Ahmed Ghezal (2018)

Kybernetika

This paper develops an asymptotic inference theory for bilinear B L time series models with periodic coefficients P B L for short . For this purpose, we establish firstly a necessary and sufficient conditions for such models to have a unique stationary and ergodic solutions (in periodic sense). Secondly, we examine the consistency and the asymptotic normality of the quasi-maximum likelihood estimator Q M L E under very mild moment condition for the innovation errors. As a result, it is shown that whenever the model is...

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