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A study on some periodic time varying bilinear model

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Abstract

We consider a class of bilinear models with periodic regimeswitching and find easy-to-check sufficient conditions thatensures the existence of a stationary process obtained from givendifference equation. Existence of a higher order moments isexamined.

참고문헌 (8)

  1. "A note on the propertiesof some time varying bilinear models" (2002)
  2. "Properties of some bilinearmodels with periodic regime switching", 69, pp.221~ (2004)
  3. "The stochastic equation Y_{n+1 = A_n Y_n+ B_n with stationary coefficients", pp.211~ (1986)
  4. "Non-stationary q-dependent processesand time-varying moving average models. Invertibility propertiesand the forecasting problem", 18, pp.170~ (1986)
  5. "Convergence indistribution of products of random matrices", 67, pp.363~ (1984)
  6. "On the generalbilinear time series model", 25, pp.553~ (1988)
  7. "On the theory of bilinear timeseries models", pp.244~ (1981)
  8. "Bilinear stochastic models and relatedproblems of nonlinear time series. A frequency domain approach Lecture notes in Statistics" (2000)

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