The bispectral representation of Markov switching bilinear models

Year 2023, Volume: 72 Issue: 3, 857 - 866, 30.09.2023

Ahmed Ghezal , Imane Zemmouri

https://doi.org/10.31801/cfsuasmas.1232916

Abstract

This article formulae for the third-order theoretical moments for superdiagonal and subdiagonal of the Markov-switching bilinear $X_{t}=c(s_{t})X_{t-k}e_{t-l}+e_{t}$, $k,l \in\mathrm{N}$, and an expression for the bispectral density function are obtained.

Keywords

Markov-switching superdiagonal and subdiagonal bilinear processes, third-order moments, bispectral density function

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