QMLE of periodic bilinear models and of PARMA models with periodic bilinear innovations
نویسندگان
چکیده
منابع مشابه
On periodic bilinear processes
RÉSUMÉ. ABSTRACT. This paper analyses the probabilistic structure of a subclass of periodic bilinear time series. The proposed class of stochastic processes, of which the linear model is a special case, is based on a generalized autoregressive representation. Under general and tractable assumptions, we examine the periodic stationarity, the existence of higher order moments and the geometric er...
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ژورنال
عنوان ژورنال: Kybernetika
سال: 2018
ISSN: 0023-5954,1805-949X
DOI: 10.14736/kyb-2018-2-0375