Spectral representation of Markov-switching bilinear processes

Author:

Ghezal Ahmed

Publisher

Springer Science and Business Media LLC

Subject

Computational Theory and Mathematics,Statistics, Probability and Uncertainty,General Mathematics

Reference23 articles.

1. Bibi, A., Ghezal, A.: On the Markov-switching bilinear processes: stationarity, higher-order moments and $$\beta$$-mixing. Stochast. Int. J. Prob. Stochast. Process. 87(6), 919–945 (2015)

2. Brillinger, D. R., Rosenblatt, M.: Asymptotic theory of estimates of $$k^{th}$$ order spectra. In: Harris, B. (ed.) Advanced Seminar on Spectral Analysis of Time Series, pp. 153–188. Wiley, New York (1967a)

3. Brillinger, D. R., Rosenblatt, M.: Computation and interpretation of $$k^{th}$$ order spectra. In: Harris, B. (ed.) Advanced Seminar on Spectral Analysis of Time Series, pp. 189–232. Wiley, New York (1967b)

4. Cavicchioli, M.: Spectral density of Markov-switching $$VARMA$$ models. Econ. Lett. 121, 218–220 (2013)

5. Cavicchioli, M.: Higher-order moments of Markov switching $$VARMA$$ models. Econ. Theory 33(6), 1502–1515 (2017)

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