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.XzbMATH Open0714.62081OpenAlexW2126008269MaRDI QIDQ3200426FDOQ3200426

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

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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)

Cites Work

• Bilinear Markovian representation and bilinear models
• The mixing property of bilinear and generalised random coefficient autoregressive models
• On a Method of Calculation of Semi-Invariants
• An introduction to bispectral analysis and bilinear time series models
• Title not available (Why is that?)
• Performance analysis of parameter estimation algorithms based on high-order moments

Cited In (15)

• Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models
• Robust estimation of bilinear time series models
• Separable lower triangular bilinear model
• Title not available (Why is that?)
• The Yule-Walker type difference equations and the moment estimation method for lower sub-diagonal bilinear models
• YULE-WALKER TYPE DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR BILINEAR TIME SERIES MODELS
• The LASSO method for bilinear time series models
• A cumulant based algorithm for the identification of input-output quadratic systems
• Title not available (Why is that?)
• Title not available (Why is that?)
• Covariance analysis of the squares of the purely diagonal bilinear time series models
• Detection of outliers and patches in bilinear time series models
• Recursive estimation of bilinear time series models
• Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model
• Pseudo-Gaussian and rank-based tests for first-order superdiagonal bilinear models in panel data

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