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.xzbMath0714.62081OpenAlexW2126008269MaRDI QIDQ3200426

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 seriesdifference equationssimulationshigher-order momentsbilinear modelhigher-order cumulantsautoregressive moving-average modelpreliminary estimatesYule-Walker difference equations

Mathematics Subject Classification ID

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

Related Items (9)

The LASSO Method for Bilinear Time Series Models ⋮ Separable lower triangular bilinear model ⋮ Covariance analysis of the squares of the purely diagonal bilinear time series models ⋮ Robust estimation of bilinear time series models ⋮ Unnamed Item ⋮ Detection of outliers and patches in bilinear time series models ⋮ A cumulant based algorithm for the identification of input-output quadratic systems ⋮ Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models ⋮ Recursive estimation of bilinear time series models

Cites Work

• Unnamed Item
• An introduction to bispectral analysis and bilinear time series models
• 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
• Performance analysis of parameter estimation algorithms based on high-order moments

This page was built for publication: DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR THE BILINEAR TIME SERIES MODEL BL(p, 0, p, 1)