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On an asymptotic property for a first-order bilinear time series model

Title
On an asymptotic property for a first-order bilinear time series model
Authors
문종은
Issue Date
1989
Department/Major
대학원 수학과
Keywords
asymptoticpropertyfirst-orderbilinear
Publisher
이화여자대학교 대학원
Degree
Master
Abstract
이 논문에서는, X_(n+1) = aX_(n)+e_(n+1)+be_(n)X_(n) (n>0)에 의해 생성되는 쌍1차 시계열과정 {x_(n)}을 마르코프 확률과정 {Z_(n)}과 잡음 {e_(n)}의 합으로 나타내고 {Z_(n)}에 대한 함수 중심극한정리가 성립함을 보인 후 {X_(n)}에 대하여 점근적 성질을 얻는다.;In this paper, we consider the discrete time, first-order bilinear processes {X_(n),n≥0} via Markovian representation. Denote X_(n)=Z(n-1)+e_(n), where {Z_(n),n≥0} is a Markov process. First, we find the functional central limit theorem for {Z_(n),n≥0} and then obtain an asymptotic property for {Z_(n),n≥0}.
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일반대학원 > 수학과 > Theses_Master
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