DIFFERENT REPRESENTATIONS FOR BILINEAR MODELS
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Publication:3799522
DOI10.1111/j.1467-9892.1987.tb00003.xzbMath0653.62065MaRDI QIDQ3799522
Publication date: 1987
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00003.x
moments; decomposition; uniqueness of solutions; Volterra series; Wiener chaos; Wiener decomposition; Markovian representation; bilinear time series models; existence of a stationary solution; \(\ell \)-representations of the subdiagonal models; diagonal and superdiagonal bilinear models; polynomial state affine representation
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60G10: Stationary stochastic processes
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Cites Work
- Bilinear Markovian representation and bilinear models
- The mixing property of bilinear and generalised random coefficient autoregressive models
- Markovian Representation of Stochastic Processes by Canonical Variables
- Realization theory of discrete-time nonlinear systems: Part I-The bounded case
- Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products
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