Specification of mixed bilinear time series models

Bilinear models are widely used in signal processing, control theory and in many other information sciences. Although, it is easy to specify simple bilinear time series models using Kumar´s third order moment approach, little work has been done on the specification of mixed bilinear time series models. This paper considers a new class of time series combining Autoregressive Moving Average (ARMA) and bilinear models. Further, we propose a method for specification of such mixed bilinear time series models based on Pade´s approximation and third order moments.