The bispectral representation of Markov switching bilinear models

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

References

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