Journal of Time Series Analysis

A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION

Journal Article

Abstract. In this paper a conditional least squares (CLS) procedure for estimating bilinear time series models is introduced. This method is applied to a special superdiagonal bilinear model which includes the classical linear autoregressive moving‐average model as a particular case and it is proven that the limiting distribution of the CLS estimates is Gaussian and that the law of the iterated logarithm holds.

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