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- W201094869 abstract "In this practicum, we study the properties of a special case of the general bilinear model. The general bilinear model was proposed by Granger and Andersen(1978) and Subba Rao(1981) for studying non-linear time series. Simulation studies and real life data sets are used to evaluate the performance of the theoretical results we derived. The properties we study are the mean, covariance structures, third order moments and cumulants. We find a pattern in the third-order cumulant which is useful in identifying the order of the model. This work is an extension of the result of Oyet(2001). The model is used to make forecasts on three real time series data. -- Also considered are the mean and covariance structures of three other versions of the bilinear model." @default.
- W201094869 created "2016-06-24" @default.
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- W201094869 date "2001-01-01" @default.
- W201094869 modified "2023-09-27" @default.
- W201094869 title "Identification and estimation of a first order bilinear time series" @default.
- W201094869 hasPublicationYear "2001" @default.
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