ARCH-type bilinear models with double long memory. (Q1766035)
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| Language | Label | Description | Also known as |
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| English | ARCH-type bilinear models with double long memory. |
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ARCH-type bilinear models with double long memory. (English)
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25 February 2005
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The authors discuss the covariance structure and long-memory properties of stationary solutions of the bilinear equation \(X_t=\xi _tA_t +B_t\), where \(\xi _t,t\in Z\) are standard i.i.d.\ random variables and \(A_t,B_t\) are moving averages in \(X_t,\;s<t\). A stationary solution of the equation is obtained as a Volterra expansion. A number of particular cases is discussed.
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ARCH processes
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bilinear models
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long memory
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Volterra series
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functional limit theorems
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