ON THE EXISTENCE OF SOME BILINEAR TIME SERIES MODELS

DOI10.1111/j.1467-9892.1983.tb00362.xzbMath0543.62073OpenAlexW2069846606MaRDI QIDQ3332115

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Publication date: 1983

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1983.tb00362.x

zbMATH Keywords

Kronecker product of matricesspectral radius of a matrixbilinear time series modelexistence of a multivariate strictly stationary stochastic process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Eigenvalues, singular values, and eigenvectors (15A18)

Related Items (13)

Estimation in nonlinear time series models ⋮ On the Covariance Structure of Time Varying Bilinear Models ⋮ Separable lower triangular bilinear model ⋮ ON THE ERGODICITY OF BILINEAR TIME SERIES MODELS ⋮ Stationarity and second-order properties of a scalar-valued nonlinear time series with Gaussian residuals ⋮ Quadratic prediction of time series via auto-cumulants ⋮ Covariance analysis of the squares of the purely diagonal bilinear time series models ⋮ Bilinear state space realization for polynomial stochastic systems ⋮ Stationarity in fourth order and the marginal bispectrum for bilinear models with Gaussian residuals ⋮ The stationarity and invertibility of a class of nonlinear ARMA models ⋮ The mixing property of bilinear and generalised random coefficient autoregressive models ⋮ Bayesian inferences and forecasting in bilinear time series models ⋮ Bilinear Markovian representation and bilinear models

Cites Work

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• On the first-order bilinear time series model
• Some Theorems on Matrix Differentiation with Special Reference to Kronecker Matrix Products

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