On the identification problem for bilinear time series models
- 1 November 1992
- journal article
- research article
- Published by Taylor & Francis in Journal of Statistical Computation and Simulation
- Vol. 43 (3-4) , 129-161
- https://doi.org/10.1080/00949659208811435
Abstract
In recent years there has been a growing interest in studying bilinear time series models. However, there are difficult problems related to the order identification of these models. In this paper, we consider the bilinear time series models and propose some methods of order identification based on the structure of autocovarance of and the third-order-automoment of {X t}. Decision rules as well as simulated bilinear time series are compared. An advantage of our methods is its simplicity of implementation.Keywords
This publication has 11 references indexed in Scilit:
- Non-linear Time SeriesPublished by Oxford University Press (OUP) ,1990
- On the general bilinear time series modelJournal of Applied Probability, 1988
- ON THE THIRD‐ORDER MOMENT STRUCTURE AND BISPECTRAL ANALYSIS OF SOME BILINEAR TIME SERIESJournal of Time Series Analysis, 1988
- ON THE IDENTIFICATION OF SOME BILINEAR TIME SERIES MODELSJournal of Time Series Analysis, 1986
- J. R. Wolf and the zürich sunspot relative numbersThe Mathematical Intelligencer, 1985
- A note on bilinear time series modelsStochastic Processes and their Applications, 1982
- Stationarity and invertibility of simple bilinear modelsStochastic Processes and their Applications, 1982
- NON-LINEAR TIME SERIES MODELLINGPublished by Elsevier ,1978
- Volterra series and geometric control theoryAutomatica, 1976
- Theory of Bilinear Dynamical SystemsPublished by Springer Nature ,1972