Identification and estimation of a first order bilinear time series
Thesis (M.A.S.)--Memorial University of Newfoundland, 2001. Mathematics and Statistics Bibliography: leaves 66-68 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...
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ftmemorialunivdc:oai:collections.mun.ca:theses3/96100 2023-05-15T17:23:32+02:00 Identification and estimation of a first order bilinear time series Afariebor, Roland, 1973- Memorial University of Newfoundland. Dept. of Mathematics and Statistics 2001 vii, 68 leaves : ill. Image/jpeg; Application/pdf http://collections.mun.ca/cdm/ref/collection/theses3/id/96100 Eng eng Electronic Theses and Dissertations (6.87 MB) -- http://collections.mun.ca/PDFs/theses/Afariebor_Roland.pdf a1538758 http://collections.mun.ca/cdm/ref/collection/theses3/id/96100 The author retains copyright ownership and moral rights in this thesis. Neither the thesis nor substantial extracts from it may be printed or otherwise reproduced without the author's permission. Paper copy kept in the Centre for Newfoundland Studies, Memorial University Libraries Time-series analysis Nonlinear theories Text Electronic thesis or dissertation 2001 ftmemorialunivdc 2015-08-06T19:18:54Z Thesis (M.A.S.)--Memorial University of Newfoundland, 2001. Mathematics and Statistics Bibliography: leaves 66-68 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. Thesis Newfoundland studies University of Newfoundland Memorial University of Newfoundland: Digital Archives Initiative (DAI) |
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Memorial University of Newfoundland: Digital Archives Initiative (DAI) |
op_collection_id |
ftmemorialunivdc |
language |
English |
topic |
Time-series analysis Nonlinear theories |
spellingShingle |
Time-series analysis Nonlinear theories Afariebor, Roland, 1973- Identification and estimation of a first order bilinear time series |
topic_facet |
Time-series analysis Nonlinear theories |
description |
Thesis (M.A.S.)--Memorial University of Newfoundland, 2001. Mathematics and Statistics Bibliography: leaves 66-68 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. |
author2 |
Memorial University of Newfoundland. Dept. of Mathematics and Statistics |
format |
Thesis |
author |
Afariebor, Roland, 1973- |
author_facet |
Afariebor, Roland, 1973- |
author_sort |
Afariebor, Roland, 1973- |
title |
Identification and estimation of a first order bilinear time series |
title_short |
Identification and estimation of a first order bilinear time series |
title_full |
Identification and estimation of a first order bilinear time series |
title_fullStr |
Identification and estimation of a first order bilinear time series |
title_full_unstemmed |
Identification and estimation of a first order bilinear time series |
title_sort |
identification and estimation of a first order bilinear time series |
publishDate |
2001 |
url |
http://collections.mun.ca/cdm/ref/collection/theses3/id/96100 |
genre |
Newfoundland studies University of Newfoundland |
genre_facet |
Newfoundland studies University of Newfoundland |
op_source |
Paper copy kept in the Centre for Newfoundland Studies, Memorial University Libraries |
op_relation |
Electronic Theses and Dissertations (6.87 MB) -- http://collections.mun.ca/PDFs/theses/Afariebor_Roland.pdf a1538758 http://collections.mun.ca/cdm/ref/collection/theses3/id/96100 |
op_rights |
The author retains copyright ownership and moral rights in this thesis. Neither the thesis nor substantial extracts from it may be printed or otherwise reproduced without the author's permission. |
_version_ |
1766113118345232384 |