上次对角双线性时间序列模型的广义传递函数系统及平稳性条件

GENERAL TRANSFER FUNCTIONS CONDITIONS FOR STATIONARITY OF UPPER SUB-DIAGONAL BILINEAR TIME SERIES MODELS

摘要: 本文讨论了一类特殊的双线性时间序列模型,即上次对角欢线性时间序列模型,在输入为严格白噪声的假定下,利用多元Wiener-Itö积分,得到了该模型的广义传递函数及平稳性的充分必要条件。

Abstract: In this paper, we discuss a special kind of Upper Triangular Bilinear time series models, called as Upper Sub-Diagonal Biliner time series models （USDBL models）. With multiple Wiener-It integrals, the general transfer function system of this model is constructed, the conditions for stationarity ia obtained in the end.