Volume no :17, Issue no: 2, June (2017)

Journal of Statistics: Advances in Theory and Applications

IDENTIFICATION OF CLASSES OF BILINEAR TIME SERIES MODELS

Author's: Anthony E. Usoro
Pages: [153] - [160]
Received Date: April 14, 2017
Submitted by:
DOI: http://dx.doi.org/10.18642/jsata_7100121822

Abstract

In this paper, two classes of bilinear time series model are obtained under certain conditions from the general bilinear autoregressive moving average model. Bilinear autoregressive (BAR) and bilinear moving average (BMA) models have been identified. From the general bilinear model, BAR and BMA models have been proved to exist for and respectively. These models are found useful in modelling most of the economic and financial data.

Keywords

autoregressive model, moving average model, bilinear autoregressive model, bilinear moving average model.