Stationarity and invertibility of simple bilinear models

Necessary and sufficient conditions for strict stationarity and invertibility are found for one-parameter bilinear models. These conditions involve the expectations of the logarithms of the absolute values of the input and output sequences.

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Year of publication:	1982
Authors:	Quinn, B. G.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 12.1982, 2, p. 225-230
Publisher:	Elsevier
Keywords:	Time series invertibility strict stationarity ergodic bilinear model

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875006