Author:
Wang Hai-Bin,Wei Bo-Cheng
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.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
9 articles.
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