Séminaire Mathématique de Béjaia
Volume 12, Numéro 1, Pages 107-113
2013-12-31

The Bispectral Representation Of Markov Switching Bl Models



Authors : Ghezal Ahmed .

Abstract

In this article, formulae for the third-order theoretical moments for superdiagonal and subdiagonal of the Markov-switching bilinear (Xt = c (st) X_t-ket-l + e_t, k, t ∈ 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

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