DIFFERENT REPRESENTATIONS FOR BILINEAR MODELS

DOI10.1111/j.1467-9892.1987.tb00003.xzbMath0653.62065MaRDI QIDQ3799522

Dominique Guégan

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00003.x

zbMATH Keywords

moments; decomposition; uniqueness of solutions; Volterra series; Wiener chaos; Wiener decomposition; Markovian representation; bilinear time series models; existence of a stationary solution; \(\ell \)-representations of the subdiagonal models; diagonal and superdiagonal bilinear models; polynomial state affine representation

Mathematics Subject Classification ID

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

60G10: Stationary stochastic processes

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Cites Work

• Bilinear Markovian representation and bilinear models
• The mixing property of bilinear and generalised random coefficient autoregressive models
• Markovian Representation of Stochastic Processes by Canonical Variables
• Realization theory of discrete-time nonlinear systems: Part I-The bounded case
• Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products
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