On the existence of stationary threshold bilinear processes
From MaRDI portal
Publication:6581351
DOI10.1007/s00362-024-01539-zzbMATH Open1541.6222MaRDI QIDQ6581351
Maddalena Cavicchioli, Unnamed Author, Ahmed Ghezal
Publication date: 30 July 2024
Published in: Statistical Papers (Search for Journal in Brave)
invertibilitystationaritygeometric ergodicitybilinear model\textit{ARMA} representation\textit{SET BL} model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Weak VARMA representations of regime-switching state-space models
- Asymmetric GARCH processes featuring both threshold effect and bilinear structure
- Threshold models in non-linear time series analysis
- Threshold models in time series analysis -- 30 years on
- An introduction to bispectral analysis and bilinear time series models
- Ergodicity and invertibility of threshold moving-average models
- Threshold models in time series analysis -- some reflections
- Bilinear Markovian representation and bilinear models
- Strict stationarity of generalized autoregressive processes
- R-theory for Markov chains on a general state space. I: Solidarity properties and R-recurrent chains
- R-theory for Markov chains on a general state space. II: r-subinvariant measures for r-transient chains
- Sufficient conditions for ergodicity and recurrence of Markov chains on a general state space
- On asymptotic distribution theory in segmented regression problems - identified case
- A note on the stationarity of a threshold first-order bilinear process
- Limit theory for bilinear processes with heavy-tailed noise
- The mixing property of bilinear and generalised random coefficient autoregressive models
- Estimating change points in nonparametric time series regression models
- Multiple change point detection and validation in autoregressive time series data
- A bivariate integer-valued bilinear autoregressive model with random coefficients
- Consistency of quasi-maximum likelihood estimator for Markov-switching bilinear time series models
- Asymptotic Fisher information matrix of Markov switching VARMA models
- The \(L^2\)-structures of standard and switching-regime GARCH models
- DETERMINING THE NUMBER OF REGIMES IN MARKOV SWITCHING VAR AND VMA MODELS
- Minimum distance estimation of Markov-switching bilinear processes
- On stationarity and ergodicity of the bilinear model with applications to GARCH models
- Testing a linear time series model against its threshold extension
- A note on causality and invertibility of a general bilinear time series model
- A portmanteau test for self-exciting threshold autoregressive-type nonlinearity in time series
- On the first-order bilinear time series model
- ON THE EXISTENCE OF STATIONARY THRESHOLD AUTOREGRESSIVE MOVING-AVERAGE PROCESSES
- Criteria for classifying general Markov chains
- On the Covariance Structure of Time Varying Bilinear Models
- BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
- HIGHER ORDER MOMENTS OF MARKOV SWITCHING VARMA MODELS
- On the Ergodicity of First‐Order Threshold Autoregressive Moving‐Average Processes
- Stationarity of multivariate Markov-switching ARMA models
This page was built for publication: On the existence of stationary threshold bilinear processes