YULE-WALKER TYPE DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR BILINEAR TIME SERIES MODELS

DOI10.1111/j.1467-9892.1988.tb00478.xzbMath0668.62065OpenAlexW1976532355MaRDI QIDQ3821444

S. A. O. Sesay, T. Subba Rao

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.tb00478.x

zbMATH Keywords

cumulantstime seriesstationarybilinear modelYule-Walker equationsthird- and fourth-order lagged moments

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Additive difference equations (39A10)

Related Items

Potential problems in estimating bilinear time-series models, Separable lower triangular bilinear model, Algebras with two multiplications and their cumulants, Optimized adaptive prediction, Robust estimation of bilinear time series models, Recursive estimation of bilinear time series models, Asymptotic properties for the first-order bilinear time series model

Cites Work

• An introduction to bispectral analysis and bilinear time series models
• Bilinear Markovian representation and bilinear models
• On a Method of Calculation of Semi-Invariants
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