YULE‐WALKER TYPE DIFFERENCE EQUATIONS FOR HIGHER‐ORDER MOMENTS AND CUMULANTS FOR BILINEAR TIME SERIES MODELS

S. A. O. Sesay and T. Subba Rao

Journal of Time Series Analysis, 1988, vol. 9, issue 4, 385-401

Abstract: Abstract. In this paper we obtain difference equations for the third‐ and fourth‐order lagged moments and cumulants when the time series {Xt} satisfies a bilinear model and is stationary up to fourth order. These equations are similar to the well‐known Yule‐Walker equations which are available for linear time series models.

Date: 1988
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https://doi.org/10.1111/j.1467-9892.1988.tb00478.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:9:y:1988:i:4:p:385-401

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