FREQUENCY-DOMAIN ESTIMATION OF BILINEAR TIME SERIES MODELS

DOI10.1111/J.1467-9892.1992.TB00124.XMaRDI QIDQ4025280zbMATH OpenOpenAlexFDO

Authors 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

bilinear modelsfrequency-domain estimationKronecker product matriceslinear time series modelsmaximum likelihoodstate-space formTanigushi criterionWhittle criterion

Mathematics Subject Classification ID

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

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Cited in

(12)

• Higher-order approximations for frequency domain time series regression
• Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain
• Frequency-domain estimation of continuous-time bilinear processes
• Replicated INAR(1) processes
• On the non-negative first-order exponential bilinear time series model
• INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL
• Frequency Interval Cross Gramians for Linear and Bilinear Systems
• ESTIMATION FOR THE FIRST-ORDER DIAGONAL BILINEAR TIME SERIES MODEL
• SPECTRAL ESTIMATION AND DECONVOLUTION FOR A LINEAR TIME SERIES MODEL
• scientific article; zbMATH DE number 734835 (Why is no real title available?)
• Whittle estimation in multivariate CCC-GARCH processes
• On the sieve M-estimation for a special bilinear time series model with time-functional variance noises

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