On the identification of some bilinear time series models

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Abstract

In their book on bilinear time series models Granger and Andersen (1978, p. 43) dismiss the use of third order moments for identifying models on the grounds that for some bilinear models they will all be zero and hence are of no use in discriminating between true white noise and some bilinear models. However, in this paper it is shown that some of the third order moments do not vanish for some superdiagonal and diagonal bilinear models and the pattern of non zero moments can be used to discriminate between true white noise and these bilinear models and also between different bilinear models. Simulation experiments are used to study the applicability of theoretical results.
Original languageEnglish
Pages (from-to)117-122
Number of pages6
JournalJournal of Time Series Analysis
Volume7
Issue number2
DOIs
Publication statusPublished - 1 Mar 1986

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Bilinear Model
Time Series Models
Time series
Identification (control systems)
Moment
White noise
Zero
Simulation Experiment
Time series models
Vanish

Cite this

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abstract = "In their book on bilinear time series models Granger and Andersen (1978, p. 43) dismiss the use of third order moments for identifying models on the grounds that for some bilinear models they will all be zero and hence are of no use in discriminating between true white noise and some bilinear models. However, in this paper it is shown that some of the third order moments do not vanish for some superdiagonal and diagonal bilinear models and the pattern of non zero moments can be used to discriminate between true white noise and these bilinear models and also between different bilinear models. Simulation experiments are used to study the applicability of theoretical results.",
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On the identification of some bilinear time series models. / Kumar, Kuldeep.

In: Journal of Time Series Analysis, Vol. 7, No. 2, 01.03.1986, p. 117-122.

Research output: Contribution to journalArticleResearchpeer-review

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