DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR THE BILINEAR TIME SERIES MODEL BL(p, 0, p, 1)

DOI10.1111/J.1467-9892.1991.TB00075.XMaRDI QIDQ3200426zbMATH OpenOpenAlexFDO

Authors S. A. O. Sesay, T. Subba Rao

Publication date 1991

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.1991.tb00075.x

zbMATH Keywords

time seriessimulationsdifference equationshigher-order momentsbilinear modelhigher-order cumulantsautoregressive moving-average modelpreliminary estimatesYule-Walker difference equations

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• An introduction to bispectral analysis and bilinear time series models
• Bilinear Markovian representation and bilinear models
• On a Method of Calculation of Semi-Invariants
• Performance analysis of parameter estimation algorithms based on high-order moments
• The mixing property of bilinear and generalised random coefficient autoregressive models

Cited in

(15)

• scientific article; zbMATH DE number 2147784 (Why is no real title available?)
• The Yule-Walker type difference equations and the moment estimation method for lower sub-diagonal bilinear models
• Covariance analysis of the squares of the purely diagonal bilinear time series models
• Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model
• The LASSO method for bilinear time series models
• Robust estimation of bilinear time series models
• Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models
• Pseudo-Gaussian and rank-based tests for first-order superdiagonal bilinear models in panel data
• A cumulant based algorithm for the identification of input-output quadratic systems
• Recursive estimation of bilinear time series models
• Separable lower triangular bilinear model
• YULE-WALKER TYPE DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR BILINEAR TIME SERIES MODELS
• scientific article; zbMATH DE number 775915 (Why is no real title available?)
• scientific article; zbMATH DE number 1475204 (Why is no real title available?)
• Detection of outliers and patches in bilinear time series models

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