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Article: On the autocorrelation structure and identification of some bilinear time series

TitleOn the autocorrelation structure and identification of some bilinear time series
Authors
KeywordsAutocorrelations
Bilinear time series
Diagonal
Superdiagonal and sub-diagonal models
Model identification
Issue Date1984
PublisherBlackwell Publishing Ltd.
Citation
Journal of Time Series Analysis, 1984, v. 5 n. 3, p. 173-181 How to Cite?
AbstractFor 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 Identifierhttp://hdl.handle.net/10722/130637
ISSN
2015 Impact Factor: 1.0
2015 SCImago Journal Rankings: 1.177

 

DC FieldValueLanguage
dc.contributor.authorLi, WK-
dc.date.accessioned2010-12-31T03:06:21Z-
dc.date.available2010-12-31T03:06:21Z-
dc.date.issued1984-
dc.identifier.citationJournal of Time Series Analysis, 1984, v. 5 n. 3, p. 173-181-
dc.identifier.issn0143-9782-
dc.identifier.urihttp://hdl.handle.net/10722/130637-
dc.description.abstractFor 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.languageeng-
dc.publisherBlackwell Publishing Ltd.-
dc.relation.ispartofJournal of Time Series Analysis-
dc.rightsJournal of Time Series Analysis. Copyright © Blackwell Publishing Ltd.-
dc.rightsThe definitive version is available at www.blackwell-synergy.com-
dc.subjectAutocorrelations-
dc.subjectBilinear time series-
dc.subjectDiagonal-
dc.subjectSuperdiagonal and sub-diagonal models-
dc.subjectModel identification-
dc.titleOn the autocorrelation structure and identification of some bilinear time seriesen_US
dc.typeArticleen_US
dc.identifier.openurlhttp://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.emailLi, WK: hrntlwk@hkucc.hku.hk-
dc.identifier.doi10.1111/j.1467-9892.1984.tb00385.x-
dc.identifier.volume5-
dc.identifier.issue3-
dc.identifier.spage173-
dc.identifier.epage181-

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