Separable lower triangular bilinear model

DOI10.1239/jap/1077134680zbMath1045.62091OpenAlexW1986691001MaRDI QIDQ4819450

Hai-Bin Wang, Bo-Cheng Wei

Publication date: 24 September 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1077134680

zbMATH Keywords

time seriesstationarityspectral densityautocovariancebilinear modelYule-Walker equationsbispectral densitythird-order cumulants

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (6)

On \(\mathbb L_2\)-structure of bilinear models on \(\mathbb Z^d\) ⋮ On stationarity and second-order properties of bilinear random fields ⋮ Detection of outliers and patches in bilinear time series models ⋮ The stationarity and invertibility of a class of nonlinear ARMA models ⋮ Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models ⋮ Synthetic detection of change point and outliers in bilinear time series models

Cites Work

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• Theory of Bilinear Time Series Models
• Transfer functions and conditions for stationarity of bilinear models with gaussian residuals
• On the general bilinear time series model
• YULE-WALKER TYPE DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR BILINEAR TIME SERIES MODELS
• On Wiener–Ito representation and the best linear predictors for bilinear time series

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