ON THE THIRD-ORDER MOMENT STRUCTURE AND BISPECTRAL ANALYSIS OF SOME BILINEAR TIME SERIES

DOI10.1111/J.1467-9892.1988.TB00449.XMaRDI QIDQ3774777zbMATH OpenOpenAlexFDO

Authors M. M. Gabr

Publication date 1988

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1988.tb00449.x

zbMATH Keywords

bilinear time series modelbispectral densitydiagonallinear modelssubdiagonalsuperdiagonalthird- order theoretical momentswhite noise

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• A note on bilinear time series models
• An introduction to bispectral analysis and bilinear time series models
• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• Stationarity and invertibility of simple bilinear models

Cited in

(25)

• Asymptotic properties for the first-order bilinear time series model
• DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR THE BILINEAR TIME SERIES MODEL BL(p, 0, p, 1)
• ON THE IDENTIFICATION OF SOME BILINEAR TIME SERIES MODELS
• YULE-WALKER TYPE DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR BILINEAR TIME SERIES MODELS
• The exact bispectra for bilinear realizable processes with hermite degree 2
• Recursive estimation of bilinear time series models
• scientific article; zbMATH DE number 1292121 (Why is no real title available?)
• Rank-based tests for autoregressive against bilinear serial dependence
• Robust estimation of bilinear time series models
• Testing of Homogeneity for Correlation and Variance in Nonlinear Regression Models with DBL(p, 0, 1) Random Errors
• A new direct approach of computing multi-step ahead predictions for non-linear models
• scientific article; zbMATH DE number 1782273 (Why is no real title available?)
• When the bispectrum is real-valued
• scientific article; zbMATH DE number 2147784 (Why is no real title available?)
• Covariance analysis of the squares of the purely diagonal bilinear time series models
• On the Structure of Third Order Moment and Identification of Bilinear Time Series Model
• Trispectrum deconvolution of linear processes with randomly missing observations
• Separable lower triangular bilinear model
• On the identification problem for bilinear time series models
• scientific article; zbMATH DE number 1396192 (Why is no real title available?)
• Bispectral unfolding of the skewness of correlated additive and multiplicative noise processes
• Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models
• Quadratic prediction of time series via auto-cumulants
• Spectral representation of Markov-switching bilinear processes
• Covariance analysis and GMM estimation of Markov switching bilinear processes

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