Estimation of Some Bilinear Time Series Models with Time Varying Coefficients

DOI10.1081/SAP-120028595MaRDI QIDQ3158142zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• On the Covariance Structure of Time Varying Bilinear Models
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Cites work

• A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION
• A note on the properties of some time varying bilinear models.
• Asymptotic properties for the first-order bilinear time series model
• Estimation in nonlinear time series models
• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• Nonlinearity tests for time series
• On conditional least squares estimation for stochastic processes
• On the first-order bilinear time series model

Cited in

(19)

• Testing coefficients of AR and bilinear time series models by a graphical approach
• CLS asymptotic variance for a particular relevant bilinear time series model
• Evolutionary transfer functions of bilinear processes with time-varying coefficients
• Properties of a simple bilinear stochastic model: Estimation and predictability
• Yule-Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality
• Linear regressions with bilinear time series errors
• Minimum distance estimation of Markov-switching bilinear processes
• On periodic time-varying bilinear processes: structure and asymptotic inference
• Estimation of Periodic Bilinear Time Series Models
• J. of time series anal.
• ESTIMATION FOR THE FIRST-ORDER DIAGONAL BILINEAR TIME SERIES MODEL
• scientific article; zbMATH DE number 1475204 (Why is no real title available?)
• QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations.
• On the Covariance Structure of Time Varying Bilinear Models
• scientific article; zbMATH DE number 841455 (Why is no real title available?)
• Identification of stable elementary bilinear time-series model
• Yule-Walker type estimator of first-order time-varying periodic bilinear differential model for stochastic processes
• Propriétés dans L²et estimation des processus purement bilinéaires et strictement superdiagonaux à coefficients périodiques
• QMLE of periodic time-varying bilinear– GARCH models

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