Properties of some bilinear models with periodic regime switching

DOI10.1016/j.spl.2004.06.006zbMath1116.62388OpenAlexW2041423907MaRDI QIDQ1771457

Abdelouahab Bibi, Moon-Ho Ringo Ho

Publication date: 21 April 2005

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

Full work available at URL: https://doi.org/10.1016/j.spl.2004.06.006

zbMATH Keywords

CausalityRegularityInvertibilityHigher order momentsTime-varying bilinear models

Mathematics Subject Classification ID

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

Related Items (1)

Periodic stationarity of random coefficient periodic autoregressions

Cites Work

• An introduction to bispectral analysis and bilinear time series models
• On the invertibility of time series models
• On periodic and multiple autoregressions
• Bilinear stochastic models and related problems of nonlinear time series analysis. A frequency domain approach
• A note on the properties of some time varying bilinear models.
• Arma models with bilinear innovations
• On the Covariance Structure of Time Varying Bilinear Models
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