A note on the properties of some time varying bilinear models.
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Publication:1871243
DOI10.1016/S0167-7152(02)00153-0zbMath1092.62579MaRDI QIDQ1871243
Abdelouahab Bibi, Alwell Julius Oyet
Publication date: 7 May 2003
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Controllability; Observability; Minimality; Causality; Invertibility; Time-varying bilinear models; Quasi-stationary processes
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
Related Items
On the stability and causality of general time-dependent bilinear models., Properties of some bilinear models with periodic regime switching, Stationarity and \(\beta\)-mixing of general Markov-switching bilinear processes, Evolutionary transfer functions of bilinear processes with time-varying coefficients, A note on the stability and causality of general time-dependent bilinear models, Estimation of Some Bilinear Time Series Models with Time Varying Coefficients
Cites Work
- An introduction to bispectral analysis and bilinear time series models
- Bilinear Markovian representation and bilinear models
- A note on causality and invertibility of a general bilinear time series model
- Non-stationary q-dependent processes and time-varying moving-average models: invertibility properties and the forecasting problem
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- On the Covariance Structure of Time Varying Bilinear Models
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