On A Class Of Stationary Nonlinear Processes: A Review
by
Kamal C. Chanda
Texas Tech University

The historical development of a class of stationary nonlinear processes and statistical analysis of data on both the continuous and discrete versions of these processes will be considered. The class of these stationary processes include, in particular, bilinear processes, truneated Volterra schemes, random coefficient auto regressive models, generalized auto regressive models, GARCH models and exponential auto regressive schemes. We shall introduce the probabilistic characteristics of these processes and discuss in some details the problems of estimating the parameters that appear in the underlying models generated by these processes.

Date received: February 28, 2003