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 |
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| 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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