Bilinear processes with time dependent variance
نویسندگان
چکیده
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 noise on the estimation of the parameters of the underlying BL(p; q; p; q) model is not signi ̄cant.
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تاریخ انتشار 2002