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.
|Journal||Journal of Time Series Analysis|
|Publication status||Published - May 1984|
CitationLi, 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
- Bilinear time series
- Superdiagonal and sub-diagonal models
- Model identification