Stationary solution and parametric estimation for bilinear model driven by ARCH noises

Jiazhu Pan, Guodong Li, Zhongjie Xie

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

Bilinear model driven by ARCH noises is proposed. Existence, uniqueness and form of stationary solution to this new model are presented. Maximum likelihood estimation of the model is discussed and some simulation results are given to evaluate our algorithm.
Original languageEnglish
Pages (from-to)1523-1537
Number of pages15
JournalScience China Mathematics
Volume45
Issue number12
DOIs
Publication statusPublished - Dec 2002

Keywords

  • bilinear model
  • ARCH
  • stationary solution
  • maximum likelihood estimation

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