Sample correlation behavior for the heavy tailed general bilinear process
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Publication:4484845
Consider the bilinear model \[ X_t= Z_t+ \sum^p_{i=1} \varphi_i X_{t-i}+ \sum^q_{j=1} \theta_j Z_{t- j}+ \sum^m_{i=1} \sum^l_{j=1} b_{ij} X_{t-i} Z_{t-j},\qquad t\in\mathbb{Z}, \] where \(\{Z_t\}\) is an i.i.d. sequence of heavy tailed noise variables, and where \(\prod^l_{j=1} b_{1j}\neq 0\). The sample correlation function \[ \widehat\rho(h)= \sum^{n-h}_{t= 1}X_t X_{t+ h}\Biggl/ \sum^n_{t= 1} X^2_t,\qquad h= 1,2,\dots, \] converges to a nondegenerate random variable depending on the lag.
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