On the general bilinear time series model

DOI10.2307/3213984zbMath0654.60029OpenAlexW2325685092MaRDI QIDQ3800812

Jian Liu, Peter J. Brockwell

Publication date: 1988

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3213984

zbMATH Keywords

ergodicitycausalitystationaritybilinear time series equations

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items

A class of stochastic unit-root bilinear processes: mixing properties and unit-root test, On the Covariance Structure of Time Varying Bilinear Models, STATIONARITY AND CENTRAL LIMIT THEOREM ASSOCIATED WITH BILINEAR TIME SERIES MODELS, Separable lower triangular bilinear model, Quenouille-type theorem on autocorrelations, Cost-sensitive estimation of ARMA models for financial asset return data, ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES, INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL, On the identification problem for bilinear time series models, Quadratic prediction of time series via auto-cumulants, The ARMA alphabet soup: a tour of ARMA model variants, Stationarity in fourth order and the marginal bispectrum for bilinear models with Gaussian residuals, Bootstrap-based tests for deterministic time-varying coefficients in regression models, Unnamed Item, Contemporaneous asymmetry in GARCH processes, ON THE EXISTENCE OF A GENERAL MULTIPLE BILINEAR TIME SERIES, The stationarity and invertibility of a class of nonlinear ARMA models, Hellinger distance estimation of general bilinear time series models, Multivariate arma models with generalized autoregressive linear innovation, SPECTRAL RADIUS, KRONECKER PRODUCTS AND STATIONARITY, On stationarity and \(\beta \)-mixing of periodic bilinear processes, Propriétés dans L²et estimation des processus purement bilinéaires et strictement superdiagonaux à coefficients périodiques, A SIMPLE CONDITION FOR THE EXISTENCE OF SOME STATIONARY BILINEAR TIME SERIES, On the selection of subset bilinear time series models: a genetic algorithm approach, Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models, Yule-Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality