A NOTE ON THE EXISTENCE OF STRICTLY STATIONARY SOLUTIONS TO BILINEAR EQUATIONS
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Publication:3666094
DOI10.1111/J.1467-9892.1982.TB00348.XzbMATH Open0517.62086OpenAlexW2024530433MaRDI QIDQ3666094FDOQ3666094
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
ergodicityrandom coefficient autoregressionnecessary and sufficient conditionsweak-mixingbilinear time seriesexistence of strictly stationary solutions
Cites Work
Cited In (11)
- 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
- 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
- Asymptotic theory for explosive random coefficient autoregressive models and inconsistency of a unit root test against a stochastic unit root process
- UNIFIED INTERVAL ESTIMATION FOR RANDOM COEFFICIENT AUTOREGRESSIVE MODELS
- Estimation in nonstationary random coefficient autoregressive models
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