Bilinear stochastic models and related problems of nonlinear time series analysis. A frequency domain approach

zbMATH Open0928.62068MaRDI QIDQ1297718FDOQ1297718

Authors: Gy. Terdik 

Publication date: 13 September 1999

Published in: Lecture Notes in Statistics (Search for Journal in Brave)

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zbMATH Keywords

nonlinear time seriesfrequency domainbilinear processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Cited In (38)

• A white noise test under weak conditions
• FREQUENCY-DOMAIN ESTIMATION OF BILINEAR TIME SERIES MODELS
• Testing the Martingale Difference Hypothesis
• Bispectrum and a non-linear model for a non-Gaussian homogenous and isotropic field in 3D
• Propriétés dans L²et estimation des processus purement bilinéaires et strictement superdiagonaux à coefficients périodiques
• Asymptotics for theL^p-deviation of the variance estimator under diffusion
• Statistical inference using higher-order information
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• DIAGNOSTIC CHECKING FOR THE ADEQUACY OF NONLINEAR TIME SERIES MODELS
• Minimum contrast estimation of random processes based on information of second and third orders
• Estimation of Periodic Bilinear Time Series Models
• Frequency domain minimum distance inference for possibly noninvertible and noncausal ARMA models
• On a class of minimum contrast estimators for fractional stochastic processes and fields
• Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
• Angular spectra for non-Gaussian isotropic fields
• Bispectral analysis of traffic in high-speed networks
• Long-range dependence in third order and bispectrum singularity
• Spectral properties of Burgers and KPZ turbulence
• On stationarity and second-order properties of bilinear random fields
• Covariance analysis of the squares of the purely diagonal bilinear time series models
• Second-order properties for multiple-bilinear models
• Title not available (Why is that?)
• Efficiency improvements for minimum distance estimation of causal and invertible ARMA models
• On periodic time-varying bilinear processes: structure and asymptotic inference
• On general periodic time-varying bilinear processes
• Properties of some bilinear models with periodic regime switching
• ARCH-type bilinear models with double long memory.
• Superposition of Diffusions with Linear Generator and its Multifractal Limit Process
• Estimation of the covariance function of Gaussian isotropic random fields on spheres, related Rosenblatt-type distributions and the cosmic variance problem
• Mixed Portmanteau Tests for Time‐Series Models
• Title not available (Why is that?)
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• On some nonstationary, nonlinear random processes and their stationary approximations
• Chain rules for multivariate cumulant coefficients
• Properties of a simple bilinear stochastic model: Estimation and predictability
• A test for second order stationarity of a multivariate time series
• Evolutionary transfer functions of bilinear processes with time-varying coefficients

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