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ON THE AUTOCORRELATION STRUCTURE AND IDENTIFICATION OF SOME BILINEAR TIME SERIES
Author(s) -
Li W. K.
Publication year - 1984
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1984.tb00385.x
Subject(s) - bilinear interpolation , mathematics , autocorrelation , series (stratigraphy) , identification (biology) , pure mathematics , statistics , paleontology , botany , biology
. For the bilinear time series X t =β X t‐k e t‐l + e v , k ≥ l , formulas for the first k ‐1 autocorrelations of X 2 t 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 X 2 t . Application to more general situations is also briefly discussed.