A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS

DOI10.1111/J.1467-9892.1982.TB00348.XMaRDI QIDQ3666094zbMATH OpenOpenAlexFDO

Authors Barry Quinn

Publication date 1982

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1982.tb00348.x

zbMATH Keywords

ergodicityrandom coefficient autoregressionnecessary and sufficient conditionsweak-mixingbilinear time seriesexistence of strictly stationary solutions

Mathematics Subject Classification ID

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

Cites work

• Autoregressive series with random parameters
• Multiple autoregressive models with random coefficients
• Stationarity and invertibility of simple bilinear models

Cited in

(12)

• Non-stationary quasi-likelihood and asymptotic optimality
• Testing for strict stationarity in a random coefficient autoregressive model
• Least squares estimation in a simple random coefficient autoregressive model
• Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
• Testing for coefficient stability of AR(1) model when the null is an integrated or a stationary process
• Unified interval estimation for random coefficient autoregressive models
• What proportion of time is a particular market inefficient? {\dots} A method for analysing the frequency of market efficiency when equity prices follow threshold autoregressions
• A note on the limiting properties of the least squares estimation for the random coefficient autoregressive model
• A note on a simple Markov bilinear stochastic process
• The maximally selected likelihood ratio test in random coefficient models
• Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
• Estimation in nonstationary random coefficient autoregressive models

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