Abstract In recent years there has been a growing interest in
studying bilinear time series models. However, there are difficult problems
related to the order identification of these models. In this paper, we
consider the bilinear time series models, Xt = BXt-k et-1 + et , k>i, k=i
and k<i, and propose some methods of order identification based on the
structure of autocovarance of {X2t} and the third-order-automoment of
{xt}. Decision rules as well as simulated bilinear time series are
compared. An advantage of our methods is its simple of implementation.
| Identifer | oai:union.ndltd.org:CHENGCHI/B2002005106 |
| Creators | 施能輝 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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