An introduction to bispectral analysis and bilinear time series models

MaRDI QIDQ796233zbMATH OpenFDO

Authors T. Subba Rao, M. M. Gabr

Publication date 1984

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

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)

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Cited in

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• When the bispectrum is real-valued
• Tests for Gaussianity and linearity of multivariate stationary time series
• The mixture transition distribution model for high-order Markov chains and non-Gaussian time series
• Some problems of bispectral analysis of stationary stochastic processes and uniform random fields
• Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model
• Prediction of software reliability using an auto regressive process
• A morphological-rank-linear evolutionary method for stock market prediction
• The effects of outliers on two nonlinearity tests
• ESTIMATION FOR THE FIRST-ORDER DIAGONAL BILINEAR TIME SERIES MODEL
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• Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
• Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
• Nonlinearity tests in time series analysis
• A central limit theorem and higher order results for the angular bispectrum
• A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
• Angular spectra for non-Gaussian isotropic fields
• The effects of temporal aggregation on tests of linearity of a time series.
• Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models
• A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION
• Multivariate lag-windows and group representations
• Swarm-based translation-invariant morphological prediction method for financial time series forecasting
• Estimation in nonlinear time series models
• Some analysis of the long-run time series properties of consumption and income in the U.K
• BL-GARCH models with elliptical distributed innovations
• Long-range dependence in third order and bispectrum singularity
• A non-linear error correction mechanism based on the bilinear model
• CONSISTENT ESTIMATION OF THE FOURTH-ORDER CUMULANT SPECTRAL DENSITY
• Nonlinear AR modeling
• A white noise test under weak conditions
• The Use of Aggregate Time Series in Testing for Gaussianity
• Bispectral-based methods for clustering time series
• Threshold variable selection by wavelets in open-loop threshold autoregressive models
• THRESHOLD VARIABLE SELECTION IN OPEN‐LOOP THRESHOLD AUTOREGRESSIVE MODELS
• Asymptotic spectral theory for nonlinear time series
• Model-free forecasting for nonlinear time series (with application to exchange rates)
• Higher order spectral estimation for random fields
• The impact of bootstrap methods on time series analysis
• Evolutionary algorithm-based learning of fuzzy neural networks. II: Recurrent fuzzy neural networks
• Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
• Separable lower triangular bilinear model
• Spectral and wavelet methods for the analysis of nonlinear and nonstationary time series
• STATIONARITY AND CENTRAL LIMIT THEOREM ASSOCIATED WITH BILINEAR TIME SERIES MODELS
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• Higher-order moments, cumulants and spectral densities of the NGINAR(1) process
• BAYESIAN THRESHOLD AUTOREGRESSIVE MODELS FOR NONLINEAR TIME SERIES
• On continuous-time threshold ARMA processes
• Distribution of recirculating lymphocytes: A stochastic model foundation
• On geometric ergodicity of CHARME models
• Higher-order accurate polyspectral estimation with flat-top lag-windows
• ON THE THIRD-ORDER MOMENT STRUCTURE AND BISPECTRAL ANALYSIS OF SOME BILINEAR TIME SERIES
• Surrogate data -- a qualitative and quantitative analysis
• Surrogate time series.
• Properties of some bilinear models with periodic regime switching
• Potential problems in estimating bilinear time-series models
• DETECTING SINUSOIDS IN NON-GAUSSIAN NOISE
• DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR THE BILINEAR TIME SERIES MODEL BL(p, 0, p, 1)
• Modeling long term lake variations by physically based stochastic dynamic models
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• A bootstrap-assisted spectral test of white noise under unknown dependence
• Correntropy as a novel measure for nonlinearity tests
• A hidden Markov regime-switching smooth transition model
• Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results
• Generalized information criterion for the AR model
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• ON THE EXISTENCE OF A GENERAL MULTIPLE BILINEAR TIME SERIES
• On the Covariance Structure of Time Varying Bilinear Models
• A bootstrap test for time series linearity
• Diagnostic checking for the adequacy of nonlinear time series models
• ARCH-type bilinear models with double long memory.
• Detection of outliers and patches in bilinear time series models
• Evolutionary transfer functions of bilinear processes with time-varying coefficients
• A test for second order stationarity of a multivariate time series
• An improved generalized spectral test for conditional mean models in time series with conditional heteroskedasticity of unknown form
• A General Framework for Constructing Locally Self-Normalized Multiple-Change-Point Tests
• Application of bilinear time series models based on genetic algorithms in dam security monitoring forecasts
• Bispectral analysis and reconstruction in the frequency domain of mono- and bidimensional deterministic sampled signals
• Nonstationarity-extended Whittle estimation
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• Asymptotic behavior of \(L\)-statistics for a large class of time series
• On inference for threshold autoregressive models.
• Pattern recognition and classification in time series analysis
• Symmetry properties of higher spectral densities and nonparametric estimates of them
• On the extremes of a class of non-linear processes with heavy tailed innovations
• Pseudo-Gaussian and rank-based tests for first-order superdiagonal bilinear models in panel data
• A New Bispectral Test for NonLinear Serial Dependence
• A note on the properties of some time varying bilinear models.
• On the selection of subset bilinear time series models: a genetic algorithm approach
• On the existence of stationary threshold bilinear processes
• Nonparametric time series regression
• Large sample properties of spectral estimators for a class of stationary nonlinear processes
• Identification environment and robust forecasting for nonlinear time series
• Detecting and modeling nonlinearity in the gas furnace data
• scientific article; zbMATH DE number 4077099 (Why is no real title available?)
• Modeling process asymmetries with Laplace moving average
• On the non-negative first-order exponential bilinear time series model

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