A note on the properties of some time varying bilinear models
AbstractIn this note, a sufficient condition is given for the existence and uniqueness of a stable causal solution for bilinear time series with time-varying coefficients; also some conditions for invertibility and the optimal prediction procedure are given. The notions of controllability, observability and minimality are discussed.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 58 (2002)
Issue (Month): 4 (July)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Pham, Dinh Tuan, 1985. "Bilinear markovian representation and bilinear models," Stochastic Processes and their Applications, Elsevier, vol. 20(2), pages 295-306, September.
- Marc Hallin, 1986. "Nonstationary q-dependent processes and time-varying moving average models: invertibility properties and the forecasting problem," ULB Institutional Repository 2013/2005, ULB -- Universite Libre de Bruxelles.
- Bibi, Abdelouahab, 2005. "A note on the stability and causality of general time-dependent bilinear models," Statistics & Probability Letters, Elsevier, vol. 73(2), pages 131-138, June.
- Bibi, Abdelouahab & Ringo Ho, Moon-ho, 2004. "Properties of some bilinear models with periodic regime switching," Statistics & Probability Letters, Elsevier, vol. 69(3), pages 221-231, September.
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