A NOTE ON A MARKOV BILINEAR STOCHASTIC PROCESS IN DISCRETE TIME

H. Tong

Journal of Time Series Analysis, 1981, vol. 2, issue 4, 279-284

Abstract: Abstract. In this paper we study the ergodicity of a Markov bilinear stochastic process and prove that not all moments exist for a non‐trivial bilinear stochastic process. We have derived expressions for the moments when they exist and diagrams are given which show the regions for which moments of various low orders exist. A modified bilinear process is briefly discussed.

Date: 1981
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https://doi.org/10.1111/j.1467-9892.1981.tb00326.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:2:y:1981:i:4:p:279-284

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