An introduction to bispectral analysis and bilinear time series models

zbMATH Open0543.62074MaRDI QIDQ796233FDOQ796233

Authors: T. Subba Rao, M. M. Gabr 

Publication date: 1984

Published in: Lecture Notes in Statistics (Search for Journal in Brave)

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zbMATH Keywords

predictionstationaritydensity estimationexistence theoremstestslinearityinvertibilityGaussianityFortran programsbilinear time-series modelsbispectrafitting subset bilinear modelslag windowsMarkovian representationsspectral windowVolterra series expansion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Inference from stochastic processes and spectral analysis (62M15) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Cited In (only showing first 100 items - show all)

• Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models
• A white noise test under weak conditions
• Spectral and wavelet methods for the analysis of nonlinear and nonstationary time series
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• A non-linear error correction mechanism based on the bilinear model
• Bispectral-based methods for clustering time series
• Potential problems in estimating bilinear time-series models
• Separable lower triangular bilinear model
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• DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR THE BILINEAR TIME SERIES MODEL BL(p, 0, p, 1)
• Correntropy as a novel measure for nonlinearity tests
• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
• ADAPTIVE PARAMETER ESTIMATION IN MULTIVARIATE SELF-EXCITING THRESHOLD AUTOREGRESSIVE MODELS
• A central limit theorem and higher order results for the angular bispectrum
• A hidden Markov regime-switching smooth transition model
• Modeling long term lake variations by physically based stochastic dynamic models
• Asymptotic spectral theory for nonlinear time series
• Distribution of recirculating lymphocytes: A stochastic model foundation
• ON THE THIRD-ORDER MOMENT STRUCTURE AND BISPECTRAL ANALYSIS OF SOME BILINEAR TIME SERIES
• A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
• Evolutionary algorithm-based learning of fuzzy neural networks. II: Recurrent fuzzy neural networks
• On continuous-time threshold ARMA processes
• Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Tests for Gaussianity and linearity of multivariate stationary time series
• Higher-order accurate polyspectral estimation with flat-top lag-windows
• Swarm-based translation-invariant morphological prediction method for financial time series forecasting
• Multivariate lag-windows and group representations
• The Use of Aggregate Time Series in Testing for Gaussianity
• Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
• Surrogate time series.
• Indications of nonlinearity, intraindividual specificity and stability of human EEG: The unfolding dimension
• When the bispectrum is real-valued
• Prediction of software reliability using an auto regressive process
• Angular spectra for non-Gaussian isotropic fields
• Long-range dependence in third order and bispectrum singularity
• Nonlinear AR modeling
• BISPECTRAL ANALYSIS OF RANDOMLY SAMPLED DATA
• Application of Bayesian approach to numerical methods of global and stochastic optimization
• Detection of outliers and patches in bilinear time series models
• Properties of some bilinear models with periodic regime switching
• ARCH-type bilinear models with double long memory.
• ON THE EXISTENCE OF A GENERAL MULTIPLE BILINEAR TIME SERIES
• Diagnostic checking for the adequacy of nonlinear time series models
• Threshold variable selection by wavelets in open-loop threshold autoregressive models
• On geometric ergodicity of CHARME models
• DETECTING SINUSOIDS IN NON-GAUSSIAN NOISE
• Higher order spectral estimation for random fields
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• CONSISTENT ESTIMATION OF THE FOURTH-ORDER CUMULANT SPECTRAL DENSITY
• A morphological-rank-linear evolutionary method for stock market prediction
• THRESHOLD VARIABLE SELECTION IN OPEN‐LOOP THRESHOLD AUTOREGRESSIVE MODELS
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• A bootstrap-assisted spectral test of white noise under unknown dependence
• The effects of outliers on two nonlinearity tests
• Estimation in nonlinear time series models
• ESTIMATION FOR THE FIRST-ORDER DIAGONAL BILINEAR TIME SERIES MODEL
• The effects of temporal aggregation on tests of linearity of a time series.
• BL-GARCH models with elliptical distributed innovations
• Generalized information criterion for the AR model
• Nonlinearity tests in time series analysis
• Some analysis of the long-run time series properties of consumption and income in the U.K
• STATIONARITY AND CENTRAL LIMIT THEOREM ASSOCIATED WITH BILINEAR TIME SERIES MODELS
• Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model
• Higher-order moments, cumulants and spectral densities of the NGINAR(1) process
• Surrogate data -- a qualitative and quantitative analysis
• On the Covariance Structure of Time Varying Bilinear Models
• A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION
• On nonlinear models for time series
• Optimal rank-based tests against first-order superdiagonal bilinear dependence
• A bootstrap test for time series linearity
• A test for second order stationarity of a multivariate time series
• Some problems of bispectral analysis of stationary stochastic processes and uniform random fields
• Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
• Model-free forecasting for nonlinear time series (with application to exchange rates)
• The impact of bootstrap methods on time series analysis
• Evolutionary transfer functions of bilinear processes with time-varying coefficients
• FREQUENCY-DOMAIN ESTIMATION OF BILINEAR TIME SERIES MODELS
• Adaptive parameter estimation in self-exciting threshold autoregressive models
• On an independent and identically distributed mixture bilinear time-series model
• SPECTRAL RADIUS, KRONECKER PRODUCTS AND STATIONARITY
• On the selection of subset bilinear time series models: a genetic algorithm approach
• Bilinear term structure model
• Trispectrum deconvolution of linear processes with randomly missing observations
• Spectral representation of Markov-switching bilinear processes
• Maximum likelihood estimation in space time bilinear models
• On inference for threshold autoregressive models.
• Nonstationarity-extended Whittle estimation
• Spectral methods for small sample time series: A complete periodogram approach
• On the existence of stationary threshold bilinear processes
• Modeling process asymmetries with Laplace moving average
• QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations.
• YULE-WALKER TYPE DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR BILINEAR TIME SERIES MODELS
• Sir Clive Granger's contributions to nonlinear time series and econometrics
• Bayesian Subset Model Selection for Time Series
• On the approximation of continuous time threshold ARMA processes
• A note on the properties of some time varying bilinear models.
• Testing time series linearity via goodness-of-fit methods
• Estimation of product moments of a stationary stochastic process with application to estimation of cumulants and cumulant spectral densities
• The estimation of the bispectral density function and the detection of periodicities in a signal

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