On the autocorrelation structure and identification of some bilinear time series

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14 Citations (Scopus)

Abstract

For the bilinear time series Xt=βXt‐ket‐l+ev, 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 X2t. Application to more general situations is also briefly discussed. Copyright © 1984 Wiley Blackwell. All rights reserved.

Original languageEnglish
Pages (from-to)173-181
JournalJournal of Time Series Analysis
Volume5
Issue number3
DOIs
Publication statusPublished - May 1984

Citation

Li, W. K. (1984). On the autocorrelation structure and identification of some bilinear time series. Journal of Time Series Analysis, 5(3), 173-181. doi: 10.1111/j.1467-9892.1984.tb00385.x

Keywords

  • Autocorrelations
  • Bilinear time series
  • Diagonal
  • Superdiagonal and sub-diagonal models
  • Model identification

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