The Taylor property in non-negative bilinear models

Abstract

The aim of this paper is to discuss the presence of the Taylor property in the class of non-negative simple bilinear models. Considering strictly and weakly stationary models, we deduce autocorrelations of the process and of the square process and analyze the presence of the Taylor property considering several error process distributions. The relationship between the Taylor property and leptokurtosis of the corresponding bilinear process is discussed. With the goal of extending this research to real valued bilinear models, a simulation study is developed in a class of such models with symmetrical innovations.