ON THE STATIONARY PROBABILITY DENSITY FUNCTION OF BILINEAR TIME SERIES MODELS: A NUMERICAL APPROACH
In this paper, we show that the Chapman-Kolmogorov formula could be used as a recursive formula for computing the m-step-ahead conditional density of a Markov bilinear model. The stationary marginal probability density function of the model may be approximated by the m-step-ahead conditional density...
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| Format: | Article |
|---|---|
| Language: | English |
| Published: |
University of Tehran
1996-09-01
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| Series: | Journal of Sciences, Islamic Republic of Iran |
| Online Access: | https://jsciences.ut.ac.ir/article_31122_42956bda4d838dcd36851ad72a01b18c.pdf |
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| _version_ | 1850152867975921664 |
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| collection | DOAJ |
| description | In this paper, we show that the Chapman-Kolmogorov formula could be used as
a recursive formula for computing the m-step-ahead conditional density of a Markov
bilinear model. The stationary marginal probability density function of the model
may be approximated by the m-step-ahead conditional density for sufficiently large
m. |
| format | Article |
| id | doaj-art-fb0a87d1632049a4944a933c5dfbb23b |
| institution | OA Journals |
| issn | 1016-1104 2345-6914 |
| language | English |
| publishDate | 1996-09-01 |
| publisher | University of Tehran |
| record_format | Article |
| series | Journal of Sciences, Islamic Republic of Iran |
| spelling | doaj-art-fb0a87d1632049a4944a933c5dfbb23b2025-08-20T02:25:51ZengUniversity of TehranJournal of Sciences, Islamic Republic of Iran1016-11042345-69141996-09-017331122ON THE STATIONARY PROBABILITY DENSITY FUNCTION OF BILINEAR TIME SERIES MODELS: A NUMERICAL APPROACHIn this paper, we show that the Chapman-Kolmogorov formula could be used as a recursive formula for computing the m-step-ahead conditional density of a Markov bilinear model. The stationary marginal probability density function of the model may be approximated by the m-step-ahead conditional density for sufficiently large m.https://jsciences.ut.ac.ir/article_31122_42956bda4d838dcd36851ad72a01b18c.pdf |
| spellingShingle | ON THE STATIONARY PROBABILITY DENSITY
FUNCTION OF BILINEAR TIME SERIES
MODELS: A NUMERICAL APPROACH Journal of Sciences, Islamic Republic of Iran |
| title | ON THE STATIONARY PROBABILITY DENSITY
FUNCTION OF BILINEAR TIME SERIES
MODELS: A NUMERICAL APPROACH |
| title_full | ON THE STATIONARY PROBABILITY DENSITY
FUNCTION OF BILINEAR TIME SERIES
MODELS: A NUMERICAL APPROACH |
| title_fullStr | ON THE STATIONARY PROBABILITY DENSITY
FUNCTION OF BILINEAR TIME SERIES
MODELS: A NUMERICAL APPROACH |
| title_full_unstemmed | ON THE STATIONARY PROBABILITY DENSITY
FUNCTION OF BILINEAR TIME SERIES
MODELS: A NUMERICAL APPROACH |
| title_short | ON THE STATIONARY PROBABILITY DENSITY
FUNCTION OF BILINEAR TIME SERIES
MODELS: A NUMERICAL APPROACH |
| title_sort | on the stationary probability density function of bilinear time series models a numerical approach |
| url | https://jsciences.ut.ac.ir/article_31122_42956bda4d838dcd36851ad72a01b18c.pdf |