QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations.

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

On periodic time-varying bilinear processes: structure and asymptotic inference
Stationarity and asymptotic inference of some periodic bilinear models.
Quasi-maximum likelihood estimation of periodic autoregressive, conditionally heteroscedastic time series
CONSISTENT AND ASYMPTOTICALLY NORMAL ESTIMATORS FOR PERIODIC BILINEAR MODELS
Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes

Cites work

A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION
An introduction to bispectral analysis and bilinear time series models
Arma models with bilinear innovations
Asymptotic properties of weighted least squares estimation in weak PARMA models
Bilinear Markovian representation and bilinear models
Consistent and asymptotically normal estimators for cyclically time-dependent linear models
Convergence in distribution of products of random matrices
Cycloergodic properties of discrete- parameter nonstationary stochastic processes
Cyclostationarity: half a century of research
Estimation in a class of nonlinear heteroscedastic time series models
Estimation in nonlinear time series models
Estimation of Some Bilinear Time Series Models with Time Varying Coefficients
scientific article; zbMATH DE number 765034 (Why is no real title available?)
scientific article; zbMATH DE number 3336457 (Why is no real title available?)
J. of time series anal.
Large sample properties of parameter estimates for periodic ARMA models
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
Numerical Analysis and Improved Algorithms for Lyapunov-Exponent Calculation of Discrete-Time Chaotic Systems
On general periodic time-varying bilinear processes
On periodic time-varying bilinear processes: structure and asymptotic inference
On stationarity and \(\beta \)-mixing of periodic bilinear processes
On stationarity and ergodicity of the bilinear model with applications to GARCH models
On the Covariance Structure of Time Varying Bilinear Models
Parameter Estimation in Conditional Heteroscedastic Models
Periodic stationarity of random coefficient periodic autoregressions
Quasi-maximum likelihood estimation of periodic autoregressive, conditionally heteroscedastic time series
Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
Some remarks on bilinear time series models
Stationary solution and parametric estimation for bilinear model driven by ARCH noises
Strict stationarity of generalized autoregressive processes
The stochastic equation Y_n₊₁=A_nY_n + B_n with stationary coefficients
Yule-Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality

Cited in

(6)

Yule-Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality
Stationarity and asymptotic inference of some periodic bilinear models.
Quasi-maximum likelihood estimation of periodic autoregressive, conditionally heteroscedastic time series
scientific article; zbMATH DE number 7783794 (Why is no real title available?)
On the p-dimensional system of nonlinear difference equations: (K+2)-periodic solutions and convergence
Structure and inference in a periodic random coefficients autoregressive model

This page was built for publication: QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4568274)