Robustness of Forecasting for Autoregressive Time Series with Bilinear Distortions
DOI:
https://doi.org/10.17713/ajs.v37i1.287Abstract
The paper is devoted to the investigation of bilinear stochastic time series model BL(p, 0, 1, 1). The linear autoregressive forecasting statistic is considered under the mean-square risk criterion; its robustness under bilinear distortions is evaluated.
References
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Terdik, G. (1999). Bilinear Stochastic Models and Related Problems of Nonlinear Time Series Analysis: A Frequency Domain Approach. New York: Springer-Verlag.
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