Transfer functions and conditions for stationarity of bilinear models with gaussian residuals

DOI10.1098/RSPA.1985.0082zbMATH Open0588.62159OpenAlexW2044389444MaRDI QIDQ3716144FDOQ3716144

Gy. Terdik

Publication date: 1985

Published in: Proceedings of the Royal Society of London. Series A: Mathematical and Physical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1098/rspa.1985.0082

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zbMATH Keywords

bilinear modelsnonlinear time series modelshigher order spectraGaussian residualsNecessary and sufficient conditions for stationaritytransfer function representations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10)

Cited In (5)

• Separable lower triangular bilinear model
• Title not available (Why is that?)
• Second-order properties for multiple-bilinear models
• Stationarity in fourth order and the marginal bispectrum for bilinear models with Gaussian residuals
• Evolutionary transfer functions of bilinear processes with time-varying coefficients

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