Estimation of Some Bilinear Time Series Models with Time Varying Coefficients

DOI10.1081/SAP-120028595zbMATH Open1054.62100OpenAlexW2079196542MaRDI QIDQ3158142FDOQ3158142

Authors: Abdelouahab Bibi, Alwell J. Oyet 

Publication date: 20 January 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120028595

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Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• On conditional least squares estimation for stochastic processes
• A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION
• Title not available (Why is that?)
• Estimation in nonlinear time series models
• On the first-order bilinear time series model
• Nonlinearity tests for time series
• A note on the properties of some time varying bilinear models.
• Asymptotic properties for the first-order bilinear time series model

Cited In (19)

• Yule-Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality
• QMLE of periodic time-varying bilinear– GARCH models
• Propriétés dans L²et estimation des processus purement bilinéaires et strictement superdiagonaux à coefficients périodiques
• Linear regressions with bilinear time series errors
• Title not available (Why is that?)
• Title not available (Why is that?)
• Identification of stable elementary bilinear time-series model
• Estimation of Periodic Bilinear Time Series Models
• QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations.
• CLS asymptotic variance for a particular relevant bilinear time series model
• Minimum distance estimation of Markov-switching bilinear processes
• On periodic time-varying bilinear processes: structure and asymptotic inference
• Testing coefficients of AR and bilinear time series models by a graphical approach
• J. of time series anal.
• ESTIMATION FOR THE FIRST-ORDER DIAGONAL BILINEAR TIME SERIES MODEL
• Yule-Walker type estimator of first-order time-varying periodic bilinear differential model for stochastic processes
• On the Covariance Structure of Time Varying Bilinear Models
• Properties of a simple bilinear stochastic model: Estimation and predictability
• Evolutionary transfer functions of bilinear processes with time-varying coefficients

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