Frequency-Domain Estimation of Continuous-Time Bilinear Processes

作     者：Abdelouahab Bibi Fateh Merahi 

作者机构：Department of MathematicsLarbi Ben M’hidi UniversityOum El BouaghiAlgeria Department of MathematicsAbbes Laghrour UniversityBP 1252 Route de Batna40004 KhenchelaAlgeria 

出 版 物：《Communications in Mathematics and Statistics》 (数学与统计通讯（英文）)

年 卷 期：2021年第9卷第4期

页      面：379-403页

核心收录：

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

主　　题：Continuous-time bilinear processes Whittle estimator Consistency Asymptotic normality 

摘      要：In this paper,we study in frequency domain someprobabilistic and statistical properties of continuous-time version of the well-known bilinear processes driven by a standard Brownian *** class of processes which encompasses many commonly used processes in the literature was defined as a nonlinear stochastic differential equation which has raised considerable interest in the last few ***,the L_(2)-structure of the process is studied and its covariance function is *** structures will lead to study the strong consistency and asymptotic normality of the Whittle estimates of the unknown parameters involved in the *** sample properties are also considered through Monte Carlo *** end,the model is then used to model the exchanges rate of the Algerian Dinar against the US dollar.