FREQUENCY-DOMAIN ESTIMATION OF BILINEAR TIME SERIES MODELS

DOI10.1111/J.1467-9892.1992.TB00124.XzbMath0755.62067OpenAlexW2080834423MaRDI QIDQ4025280

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

Publication date: 18 February 1993

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00124.x

zbMATH Keywords

maximum likelihoodlinear time series modelsbilinear modelsstate-space formWhittle criterionfrequency-domain estimationKronecker product matricesTanigushi criterion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

Related Items (5)

INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL ⋮ ESTIMATION FOR THE FIRST-ORDER DIAGONAL BILINEAR TIME SERIES MODEL ⋮ Replicated INAR(1) processes ⋮ On the non-negative first-order exponential bilinear time series model ⋮ Whittle estimation in multivariate CCC-GARCH processes

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