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

MaRDI QIDQ1297718zbMATH OpenFDO

Authors Gy. Terdik

Publication date 13 September 1999

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

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)

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Cited in

(39)

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• 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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• 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
• On periodic time-varying bilinear processes: structure and asymptotic inference
• Efficiency improvements for minimum distance estimation of causal and invertible ARMA models
• scientific article; zbMATH DE number 4077099 (Why is no real title available?)
• 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
• Diagnostic checking for the adequacy of nonlinear time series models
• 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
• Frequency-domain estimation of continuous-time bilinear processes
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• scientific article; zbMATH DE number 3852142 (Why is no real title available?)
• On some nonstationary, nonlinear random processes and their stationary approximations
• Properties of a simple bilinear stochastic model: Estimation and predictability
• A test for second order stationarity of a multivariate time series
• Chain rules for multivariate cumulant coefficients

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