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ON THE STATIONARITY AND INVERTIBILITY OF A GENERAL BILINEAR TIME SERIES MODEL
被引：0
|作者：
贾民平
黄仁
机构：
[1] Department of Mechanical Engineering
[2] Nanjing 210018
[3] Southeast University
来源：
关键词：
Bilinear Time Series Model;
Stationarity;
Invertibility;
Autocovariance;
Kronecker Product;
D O I：
10.13299/j.cnki.amjcu.000444
中图分类号：
学科分类号：
摘要：
In this paper, some statistical properties of a general bilinear time series model BL (n,m,p,q) are discussed. The sufficient conditions for asymptotic stationarity and invertibility are derived and the expressions of the autocovariance are also given for this model. Results of derivation show that the expressions of autocovariance for a bilinear model are quite different to that of a linear model in the case of q≥ 2 .
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页码：381 / 390
页数：10
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