A note on the autocorrelations related to a bilinear model with non-independent shocks

DOI10.1016/S0167-7152(97)00069-2zbMath0893.62088MaRDI QIDQ1382221

C. M. Martins

Publication date: 6 May 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

ergodicityconditional expectationstationarityautocorrelationsbilinear model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

Identification of stable elementary bilinear time-series model

Cites Work

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• Stationarity and invertibility of simple bilinear models
• ON THE AUTOCORRELATION STRUCTURE AND IDENTIFICATION OF SOME BILINEAR TIME SERIES
• ARMA MODELS WITH ARCH ERRORS
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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