DIFFERENT REPRESENTATIONS FOR BILINEAR MODELS

DOI10.1111/j.1467-9892.1987.tb00003.xzbMath0653.62065OpenAlexW2007366603MaRDI 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

momentsdecompositionuniqueness of solutionsVolterra seriesWiener chaosWiener decompositionMarkovian representationbilinear time series modelsexistence of a stationary solution\(\ell \)-representations of the subdiagonal modelsdiagonal and superdiagonal bilinear modelspolynomial state affine representation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (5)

On the stability and causality of general time-dependent bilinear models. ⋮ Pension Funding with Moving Average Rates of Return ⋮ BL-GARCH models with elliptical distributed innovations ⋮ Recursive estimation of bilinear time series models ⋮ Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence

Cites Work

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• 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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