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- Publisher Website: 10.1111/j.1467-9892.1984.tb00385.x
- Scopus: eid_2-s2.0-84986734447
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Article: On the autocorrelation structure and identification of some bilinear time series
| Title | On the autocorrelation structure and identification of some bilinear time series |
|---|---|
| Authors | |
| Keywords | Autocorrelations Bilinear time series Diagonal Superdiagonal and sub-diagonal models Model identification |
| Issue Date | 1984 |
| Publisher | Blackwell Publishing Ltd. |
| Citation | Journal of Time Series Analysis, 1984, v. 5 n. 3, p. 173-181 How to Cite? |
| Abstract | For the bilinear time series Xt=βX(t-k)e(t-l)+e(v1)k≥l, formulas for the first k-1 autocorrelations of X2t are obtained. These results fill in a gap in Granger and Andersen (1978). Simulation experiments are used to study the applicability of theoretical results and to investigate some more general situations. It is found that if ß is not too small, k and l may be identified using the autocorrelations of X2r. Application to more general situations is also briefly discussed. |
| Persistent Identifier | http://hdl.handle.net/10722/130637 |
| ISSN | 2023 Impact Factor: 1.2 2023 SCImago Journal Rankings: 0.875 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Li, WK | - |
| dc.date.accessioned | 2010-12-31T03:06:21Z | - |
| dc.date.available | 2010-12-31T03:06:21Z | - |
| dc.date.issued | 1984 | - |
| dc.identifier.citation | Journal of Time Series Analysis, 1984, v. 5 n. 3, p. 173-181 | - |
| dc.identifier.issn | 0143-9782 | - |
| dc.identifier.uri | http://hdl.handle.net/10722/130637 | - |
| dc.description.abstract | For the bilinear time series Xt=βX(t-k)e(t-l)+e(v1)k≥l, formulas for the first k-1 autocorrelations of X2t are obtained. These results fill in a gap in Granger and Andersen (1978). Simulation experiments are used to study the applicability of theoretical results and to investigate some more general situations. It is found that if ß is not too small, k and l may be identified using the autocorrelations of X2r. Application to more general situations is also briefly discussed. | - |
| dc.language | eng | - |
| dc.publisher | Blackwell Publishing Ltd. | - |
| dc.relation.ispartof | Journal of Time Series Analysis | - |
| dc.rights | Journal of Time Series Analysis. Copyright © Blackwell Publishing Ltd. | - |
| dc.rights | The definitive version is available at www.blackwell-synergy.com | - |
| dc.subject | Autocorrelations | - |
| dc.subject | Bilinear time series | - |
| dc.subject | Diagonal | - |
| dc.subject | Superdiagonal and sub-diagonal models | - |
| dc.subject | Model identification | - |
| dc.title | On the autocorrelation structure and identification of some bilinear time series | en_US |
| dc.type | Article | en_US |
| dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0143-9782&volume=5&issue=3&spage=173–181&epage=&date=1984&atitle=On+the+autocorrelation+structure+and+identification+of+some+bilinear+time+series | - |
| dc.identifier.email | Li, WK: hrntlwk@hkucc.hku.hk | - |
| dc.identifier.doi | 10.1111/j.1467-9892.1984.tb00385.x | - |
| dc.identifier.scopus | eid_2-s2.0-84986734447 | - |
| dc.identifier.volume | 5 | - |
| dc.identifier.issue | 3 | - |
| dc.identifier.spage | 173 | - |
| dc.identifier.epage | 181 | - |
| dc.identifier.issnl | 0143-9782 | - |