Curve estimation for mn-decomposable time series including bilinear processes

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

A Conditional Least Squares approach to bilinear time series estimation

In this paper we develop a Conditional Least Squares (CLS) procedure for estimating bilinear time series models. We apply this method to two general types of bilinear models. A model of type I is a special superdiagonal bilinear model which includes the linear ARMA model as a submodel. A model of type II is a standardized version of the popular bilinear BL(p, 0, p, 1) model (see e.g. Liu and Ch...

متن کامل

Bilinear Garch Time Series Models

In this paper the class of BL-GARCH (Bilinear General AutoregRessive Conditional Heteroskedasticity) models is introduced. The proposed model is a modification to the BL-GARCH model proposed by Storti and Vitale (2003). Stationary conditions and autocorrelation structure for special cases of these new models are derived. Maximum likelihood estimation of the model is also considered. Some simula...

متن کامل

Bilinear processes with time dependent variance

If the noise »t in the state space representation of a superdiagonal bilinear model BL(p; q; p; q) is non-stationary, then the time series generated by this model will be non-stationary. In this paper, it is shown that the existence theorems and the invertibilty condition of the non stationary model is similar to the stationary case. Furthermore, it is shown that the e®ect of the non-stationary...

متن کامل

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.

متن کامل

Bilinear Time Series Model for Estimating a Disease Death Rate

We compare new time-series methods for estimating the death rate of an emerging and re-emerging disease and our approach is based on One-Dimensional Integrated Autoregressive Bilinear Time Series Model and Generalized Integrated Autoregressive Bilinear Time Series Model. The parameters of the proposed models are estimated using Newton-Raphson iterative method and statistical properties of the d...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Multivariate Analysis

سال: 1991

ISSN: 0047-259X

DOI: 10.1016/0047-259x(91)90037-3