On L2 structure of Markov switching bilinear models
Abstract
In Bibi and Ghazal [2], we have derived several probabilistic properties for time-varying bilinear models where the coefficients vary according to a Markov chain. In this paper, we continue to study certain sufficient conditions in L? for the strict stationarity solution. As a consequence, it can be seen (locally) that when the solution is strictly stationary, it admit also moments of a certain order.
Published
2024-02-17
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Section
Articles
How to Cite
On L2 structure of Markov switching bilinear models. (2024). Nonlinear Studies, 31(1). https://nonlinearstudies.com/index.php/nonlinear/article/view/3057