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The Statistical Theory of Pure Diagonal Bilinear Time Series Model of Applications
Abstract
Stationarity, invertibility and covariance structure of pure diagonal bilinear models have been studied in details in this paper. We transformed the pure diagonal bilinear model into the state space form and subsequently examined the condition under which it is stationary and invertible. We also derived the covariance structure of the pure diagonal bilinear model and showed that for every pure diagonal bilinear process there exists an ARMA process with identical covariance structure. Keywords: Bilinear models, Stationarity, Invertibility and covariance structure
