On the first-order bilinear time series model-Reference-Cited by-同舟云学术

On the first-order bilinear time series model

Published:1981-09 Issue:3 Volume:18 Page:617-627
ISSN:0021-9002
Container-title:Journal of Applied Probability
language:en
Short-container-title:Journal of Applied Probability

Author:

Pham Tuan Dinh,Tran Lanh Tat

Abstract

The paper investigates some properties of the first-order bilinear time series model: stationarity and invertibility. Estimates of the parameters are obtained by a modified least squares method and shown to be strongly consistent.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Reference8 articles.

1. On the invertibility of time series models

2. Bilinear systems: An appealing class of "nearly linear" systems in theory and applications

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