A Decision Procedure for Bilinear Time Series Based on the Asymptotic Separation

DOI10.1080/02331880008802699MaRDI QIDQ4943294zbMATH OpenOpenAlexFDO

Authors

Publication date 3 October 2001

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331880008802699

zbMATH Keywords

asymptotic separationbilinear modelstime series

Mathematics Subject Classification ID

Statistical decision theory (62C99) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A new test for ARMA models with errors following a general white noise process
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Explicit and exponential bounds for a test on the coefficient of an AR(1) model
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3870443 (Why is no real title available?)
• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• On the first-order bilinear time series model
• Probability Inequalities for Sums of Bounded Random Variables
• Some statistical results on autoregressive conditionally heteroscedastic models
• Stationarity and invertibility of simple bilinear models
• Stationarity of Gtarch Processes

Cited in

(3)

• A non-parametric test for non-independent noises against a bilinear dependence
• scientific article; zbMATH DE number 2123875 (Why is no real title available?)
• Discriminant analysis in bilinear processes using state space methodology

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