Separable lower triangular bilinear model
Hai-Bin Wang and Bo-Cheng Wei
Source: J. Appl. Probab.
Volume 41, Number 1
(2004), 221-235.
Abstract
The aim of this paper is to analyze the probabilistic structure
for a rather general class of bilinear models systematically.
First, the sufficient and necessary conditions for stationarity
are given with a concise expression. Then both the autocovariance
function and the spectral density function are obtained. The
Yule-Walker-type difference equations for autocovariances are
derived by means of the spectral density function. Concerning the
second-order probabilistic structure, the model is similar to an
ARMA model. The third-order probabilistic structure for the model
is discussed and a group of Yule-Walker-type difference equations
for third-order cumulants are discovered.
Primary Subjects: 62M10
Secondary Subjects: 60G10
Keywords: Time series; bilinear model; stationarity; autocovariance; spectral density; third-order cumulants; bispectral density; Yule-Walker equations
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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jap/1077134680
Digital Object Identifier: doi:10.1239/jap/1077134680
Mathematical Reviews number (MathSciNet):
MR2036284
Zentralblatt MATH identifier:
1045.62091
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