双线性时序模型的特性函数

Characteristic Functions of Bilinear Time Series Model

对非线性时间序列分析中常见的双线性时序模型,本文给出了一般双线性时序模型自协方差函数间的关系以及与线性时序模型自协方差函数间关系的联系,运用Volterra级数表达式导出了双线性时序模型的脉冲响应函数和频率特性函数。

A bilinear time series model is an important type of nonlinear time series analysis. In this paper, the autocovariance function and the relationship between linear and general bilinear time series model are derived. With the help of Volterra expansion, the impulse response function and frequency characteristic function of the general bilinear time series model are also derived.