A note on bilinear time series models
نویسندگان
چکیده
منابع مشابه
ON THE STATIONARY PROBABILITY DENSITY FUNCTION OF BILINEAR TIME SERIES MODELS: A NUMERICAL APPROACH
In this paper, we show that the Chapman-Kolmogorov formula could be used as a recursive formula for computing the m-step-ahead conditional density of a Markov bilinear model. The stationary marginal probability density function of the model may be approximated by the m-step-ahead conditional density for sufficiently large m.
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1982
ISSN: 0304-4149
DOI: 10.1016/0304-4149(82)90044-8