Hostname: page-component-78c5997874-ndw9j Total loading time: 0 Render date: 2024-11-17T16:08:35.458Z Has data issue: false hasContentIssue false
  • English
  • Français

A note on causality and invertibility of a general bilinear time series model

Published online by Cambridge University Press:  01 July 2016

Jian Liu
Jian Liu*
Affiliation:
University of British Columbia
*
∗Postal address: Department of Statistics, 2021 West Mall, University of British Columbia, Vancouver, B.C., Canada V6T 1W5.
Rights & Permissions [Opens in a new window]

Abstract

An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.
Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Letters to the Editor
Information
Advances in Applied Probability , Volume 22 , Issue 1 , March 1990 , pp. 247 - 250
Copyright
Copyright © Applied Probability Trust 1990 

References

Granger, C. W. J. and Anderson, A. (1978a) An Introduction to Bilinear Time Series Models. Vandenhoeck and Ruprecht, Göttingen.Google Scholar
Granger, C. W. J. and Andersen, A. (1978b) On the invertibility of time series models. Stoch. Proc. Appl. 8, 87–92.Google Scholar
Liu, J. (1989) A simple condition for the existence of some stationary bilinear time series. J. Time Series Anal. 10, 33–39.Google Scholar
Liu, J. and Brockwell, P. J. (1988) On the general bilinear time series model. J. Appl. Prob. 25, 553–564.Google Scholar
Quinn, B. G. (1982) Stationarity and invertibility of simple bilinear models. Stoch. Proc. Appl. 12, 225–230.Google Scholar
Subba Rao, T. and Gabr, M. M. (1984) An Introduction to Bispectral Analysis and Bilinear Time Series Models. Lecture Notes in Statistics 24, Springer-Verlag, New York.Google Scholar