Separable lower triangular bilinear model

DOI10.1239/JAP/1077134680MaRDI QIDQ4819450zbMATH OpenOpenAlexFDO

Authors Hai-Bin Wang, Bocheng Wei

Publication date 24 September 2004

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/jap/1077134680

zbMATH Keywords

stationaritytime seriesautocovariancespectral densitybilinear modelbispectral densityYule-Walker equationsthird-order cumulants

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10)

Recommendations

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• ON THE THIRD-ORDER MOMENT STRUCTURE AND BISPECTRAL ANALYSIS OF SOME BILINEAR TIME SERIES
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• DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR THE BILINEAR TIME SERIES MODEL BL(p, 0, p, 1)
• Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models

Cites work

• scientific article; zbMATH DE number 3854250 (Why is no real title available?)
• scientific article; zbMATH DE number 3742451 (Why is no real title available?)
• scientific article; zbMATH DE number 3591256 (Why is no real title available?)
• An introduction to bispectral analysis and bilinear time series models
• DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR THE BILINEAR TIME SERIES MODEL BL(p, 0, p, 1)
• ON THE EXISTENCE OF SOME BILINEAR TIME SERIES MODELS
• On Wiener–Ito representation and the best linear predictors for bilinear time series
• On the general bilinear time series model
• Theory of Bilinear Time Series Models
• Transfer functions and conditions for stationarity of bilinear models with gaussian residuals
• YULE-WALKER TYPE DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR BILINEAR TIME SERIES MODELS

Cited in

(9)

• Synthetic detection of change point and outliers in bilinear time series models
• Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models
• The stationarity and invertibility of a class of nonlinear ARMA models
• On \(\mathbb L_2\)-structure of bilinear models on \(\mathbb Z^d\)
• scientific article; zbMATH DE number 2147784 (Why is no real title available?)
• On stationarity and second-order properties of bilinear random fields
• Bayesian analysis of SLTBL models
• Detection of outliers and patches in bilinear time series models
• scientific article; zbMATH DE number 1782273 (Why is no real title available?)

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