A simple integer-valued bilinear time series model

Abstract

In this paper, we extend the integer-valued model class to give a nonnegative integer-valued bilinear process, denoted by INBL( p , q , m , n ), similar to the real-valued bilinear model. We demonstrate the existence of this strictly stationary process and give an existence condition for it. The estimation problem is discussed in the context of a particular simple case. The method of moments is applied and the asymptotic joint distribution of the estimators is given: it turns out to be a normal distribution. We present numerical examples and applications of the model to real time series data on meningitis and Escherichia coli infections.