J. of time series anal.

DOI10.1080/15326349908807167zbMath0706.62079OpenAlexW2062760353MaRDI QIDQ3486696

Jian Liu

Publication date: 1990

Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349908807167

zbMATH Keywords

Numerical simulationscausalityinvertibilitystrong consistencybilinear time seriesasymptotic distributions of the least squares estimatesfinite variance assumptionsinfinite variance innovationsLeast Gamma Deviation estimation procedure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09)

Related Items (4)

QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations ⋮ A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION ⋮ Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results ⋮ Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models

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