YULE-WALKER TYPE DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR BILINEAR TIME SERIES MODELS

DOI10.1111/j.1467-9892.1988.tb00478.xzbMath0668.62065OpenAlexW1976532355MaRDI QIDQ3821444

S. A. O. Sesay, T. Subba Rao

Publication date: 1988

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1988.tb00478.x

zbMATH Keywords

cumulantstime seriesstationarybilinear modelYule-Walker equationsthird- and fourth-order lagged moments

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Additive difference equations (39A10)

Related Items (7)

Potential problems in estimating bilinear time-series models ⋮ Separable lower triangular bilinear model ⋮ Algebras with two multiplications and their cumulants ⋮ Optimized adaptive prediction ⋮ Robust estimation of bilinear time series models ⋮ Recursive estimation of bilinear time series models ⋮ Asymptotic properties for the first-order bilinear time series model

Cites Work

• An introduction to bispectral analysis and bilinear time series models
• Bilinear Markovian representation and bilinear models
• On a Method of Calculation of Semi-Invariants
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