A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION

DOI10.1111/J.1467-9892.1995.TB00251.XMaRDI QIDQ4854216zbMATH OpenOpenAlexFDO

Authors Thorsten Grahn

Publication date 14 November 1995

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

Full work available at URL http://archiv.ub.uni-heidelberg.de/volltextserver/21354/1/beitrag.06.pdf

zbMATH Keywords

bilinear time series modelscentral limit theoremconditional least squaresconditional momentsGaussian limiting distributionlaw of the iterated logarithmlinear autoregressive moving-average modelsuperdiagonal bilinear modelYule-Walker equations

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• An introduction to bispectral analysis and bilinear time series models
• Asymptotic properties for the first-order bilinear time series model
• Bilinear control processes. With applications to engineering, ecology, and medicine
• Factorization of the Covariance Generating Function of a Pure Moving Average Process
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• scientific article; zbMATH DE number 841455 (Why is no real title available?)
• J. of time series anal.
• On nonlinear models for time series
• On the first-order bilinear time series model
• Some remarks on bilinear time series models

Cited in

(20)

• Asymptotic properties of conditional least-squares estimators for array time series
• Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models
• Interval estimation for a simple bilinear model
• Properties of a simple bilinear stochastic model: Estimation and predictability
• Yule-Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality
• Stationarity and asymptotic inference of some periodic bilinear models.
• INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL
• Minimum distance estimation of Markov-switching bilinear processes
• Periodic integer-valued bilinear time series model
• Estimation of Some Bilinear Time Series Models with Time Varying Coefficients
• The LASSO method for bilinear time series models
• On periodic time-varying bilinear processes: structure and asymptotic inference
• J. of time series anal.
• scientific article; zbMATH DE number 4107971 (Why is no real title available?)
• QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations.
• scientific article; zbMATH DE number 841455 (Why is no real title available?)
• Pseudo-Gaussian and rank-based tests for first-order superdiagonal bilinear models in panel data
• On the sieve M-estimation for a special bilinear time series model with time-functional variance noises
• Statistical inference of a special bilinear model with functional heteroscedasticity based on the sieve estimation
• Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results

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