The bispectral representation of Markov switching bilinear models

Authors : Ahmed GHEZAL, Imane ZEMMOURİ

Pages : 857-866

Doi:10.31801/cfsuasmas.1232916

View : 39 | Download : 58

Publication Date : 2023-09-30

Article Type : Research Paper

Abstract :This article formulae for the third-order theoretical moments for superdiagonal and subdiagonal of the Markov-switching bilinear $X_{t}=cinsert ignore into journalissuearticles values(s_{t});X_{t-k}e_{t-l}+e_{t}$, $k,l \\in\\mathrm{N}$, and an expression for the bispectral density function are obtained.
Keywords : Markov switching superdiagonal and subdiagonal bilinear processes, third order moments, bispectral density function