ON THE EXISTENCE OF A GENERAL MULTIPLE BILINEAR TIME SERIES

Jian Liu

Journal of Time Series Analysis, 1989, vol. 10, issue 4, 341-355

Abstract: Abstract. A sufficient condition is derived for the existence of a strictly stationary solution of the general multiple bilinear time series equations (without assuming subdiagonality). The condition is shown to reduce to the condition of Stensholt and Tjostheim in the special case which they consider. Under this condition a solution is constructed which is shown to be casual in the sense we define, strictly stationary and ergodic. It is moreover the unique causal solution and the unique stationary solution of the defining equations. In the special case when the defining equations contain no non‐linear terms, i.e. the multiple autoregressive moving‐average (ARMA) model. the condition given here reduces to the well‐known sufficient condition for the existence of a casual stationary solution.

Date: 1989
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1989.tb00033.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:10:y:1989:i:4:p:341-355

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().