Estimation of Some Bilinear Time Series Models with Time Varying Coefficients

DOI10.1081/SAP-120028595zbMath1054.62100OpenAlexW2079196542MaRDI QIDQ3158142

Abdelouahab Bibi, Alwell Julius Oyet

Publication date: 20 January 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sap-120028595

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)

Related Items (8)

On periodic time-varying bilinear processes: structure and asymptotic inference ⋮ QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations ⋮ Minimum distance estimation of Markov-switching bilinear processes ⋮ Properties of a simple bilinear stochastic model: Estimation and predictability ⋮ Propriétés dans L²et estimation des processus purement bilinéaires et strictement superdiagonaux à coefficients périodiques ⋮ Estimation of Periodic Bilinear Time Series Models ⋮ QMLE of periodic time-varying bilinear– GARCH models ⋮ Yule-Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality

Cites Work

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• Estimation in nonlinear time series models
• On conditional least squares estimation for stochastic processes
• A note on the properties of some time varying bilinear models.
• Asymptotic properties for the first-order bilinear time series model
• Nonlinearity tests for time series
• On the first-order bilinear time series model
• A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION

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