DIFFERENT REPRESENTATIONS FOR BILINEAR MODELS

DOI10.1111/J.1467-9892.1987.TB00003.XMaRDI QIDQ3799522zbMATH OpenOpenAlexFDO

Authors Dominique Guegan

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

zbMATH Keywords

\(\ell \)-representations of the subdiagonal modelsbilinear time series modelsdecompositiondiagonal and superdiagonal bilinear modelsexistence of a stationary solutionMarkovian representationmomentspolynomial state affine representationuniqueness of solutionsVolterra seriesWiener chaosWiener decomposition

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Bilinear Markovian representation and bilinear models
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• 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
• The mixing property of bilinear and generalised random coefficient autoregressive models

Cited in

(15)

• Bilinear Markovian representation and bilinear models
• Bilinear state space realization for polynomial stochastic systems
• Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
• On the stability and causality of general time-dependent bilinear models.
• Pension Funding with Moving Average Rates of Return
• scientific article; zbMATH DE number 3883343 (Why is no real title available?)
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• scientific article; zbMATH DE number 4202172 (Why is no real title available?)
• BL-GARCH models with elliptical distributed innovations
• scientific article; zbMATH DE number 3988549 (Why is no real title available?)
• On Wiener–Ito representation and the best linear predictors for bilinear time series
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• Recursive estimation of bilinear time series models
• scientific article; zbMATH DE number 3999075 (Why is no real title available?)
• Representation of the bilinear system output by multiple stochastic integrals

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