Markovian representation of a bilinear time series model and maximum likelihood estimation of the parameters
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Publication:4949467
DOI10.1080/07362990008809670zbMath0983.62063OpenAlexW2020208443MaRDI QIDQ4949467
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Publication date: 25 April 2002
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07362990008809670
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)
Cites Work
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- Bilinear systems: An appealing class of "nearly linear" systems in theory and applications