Recursive estimation of bilinear time series models

DOI10.1080/03610929208830911zbMath0775.62232OpenAlexW2085730801MaRDI QIDQ4202735

M. M. Gabr

Publication date: 4 October 1993

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929208830911

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items

Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results ⋮ Robust estimation of bilinear time series models

Cites Work

• Unnamed Item
• Unnamed Item
• Bilinear Markovian representation and bilinear models
• Comparison of six one-line identification algorithms
• Comparison of six on-line identification and parameter estimation methods
• Stochastic processes and filtering theory
• Identification of a class of stochastic bilinear systems†
• DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR THE BILINEAR TIME SERIES MODEL BL(p, 0, p, 1)
• Parameter estimation in bilinear systems by instrumental variable method
• A recursive (on-line) identification of bilinear systems
• ON THE THIRD-ORDER MOMENT STRUCTURE AND BISPECTRAL ANALYSIS OF SOME BILINEAR TIME SERIES
• DIFFERENT REPRESENTATIONS FOR BILINEAR MODELS
• YULE-WALKER TYPE DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR BILINEAR TIME SERIES MODELS
• STATE-DEPENDENT MODELS: A GENERAL APPROACH TO NON-LINEAR TIME SERIES ANALYSIS
• Asymptotic behavior of the extended Kalman filter as a parameter estimator for linear systems