Second-order properties for multiple-bilinear models

DOI10.1016/0047-259X(90)90030-LMaRDI QIDQ751717zbMATH OpenFDO

Authors Gy. Terdik

Publication date 1990

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(90)90030-L

zbMATH Keywords

multiple bilinear time series modelssecond order propertiesspectral density functionWiener-Itô spectral representation

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

This paper deals with multiple bilinear time series models in the frequency domain; it uses the Wiener-Itô spectral representation to describe the second order properties. The author gives a necessary and sufficient condition for the second order stationarity of multiple bilinear models in terms of the spectral radius of a matrix involving the coefficients of the model. The exact form of the spectral density function shows that there is no way one can discriminate between a linear (non Gaussian) and a bilinear model based on the second order properties of the process.

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Cites work

• An Overview of Bilinear System Theory and Applications
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• scientific article; zbMATH DE number 4197039 (Why is no real title available?)
• MULTIPLE BILINEAR TIME SERIES MODELS
• Multiple Wiener-Ito integrals. With applications to limit theorems
• Nonlinear time series and signal processing
• On Wiener–Ito representation and the best linear predictors for bilinear time series
• Transfer functions and conditions for stationarity of bilinear models with gaussian residuals

Cited in

(5)

• scientific article; zbMATH DE number 3852142 (Why is no real title available?)
• On Wiener–Ito representation and the best linear predictors for bilinear time series
• Criteria for the existence of even order moments of bilinear time series
• scientific article; zbMATH DE number 1782273 (Why is no real title available?)
• On stationarity and second-order properties of bilinear random fields

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