Some remarks on bilinear time series models

DOI10.1080/02331888908802201zbMath0685.62065OpenAlexW2083187360MaRDI QIDQ4203658

G.Wittwer

Publication date: 1989

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331888908802201

zbMATH Keywords

consistencyM-estimatorsinvertibilityleast-squares estimatorbilinear modelMarkovian representation

Mathematics Subject Classification ID

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

Related Items

QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations ⋮ INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL ⋮ Minimum distance estimation of Markov-switching bilinear processes ⋮ A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION ⋮ Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models

Cites Work

• Bilinear Markovian representation and bilinear models
• On the invertibility of time series models
• On the first-order bilinear time series model