Abstract
Bilinear model driven by ARCH (1) 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.
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Jiazhu, P., Guodong, L. & Zhongjie, X. Stationary solution and parametric estimation for bilinear model driven by ARCH noises. Sci. China Ser. A-Math. 45, 1523–1537 (2002). https://doi.org/10.1360/02ys9164
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DOI: https://doi.org/10.1360/02ys9164