THE ESTIMATION AND PREDICTION OF SUBSET BILINEAR TIME SERIES MODELS WITH APPLICATIONS

M. M. Gabr and T. Subba Rao

Journal of Time Series Analysis, 1981, vol. 2, issue 3, 155-171

Abstract: Abstract. In this paper we define subset bilinear time series models, and then describe an algorithm for the estimation of these models. It is also pointed out that for this class of non‐linear time series models, it is possible to obtain optimal several step predictors. The estimation technique of these models is illustrated with respect to three time series, and the optimal several steps ahead forecasts of these time series models are calculated. A comparison of these forecasts is made with the forecasts obtained by the best linear autoregressive and threshold autoregressive models. The residuals obtained from the models are tested for independence and Gaussianity using higher order moments.

Date: 1981
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Downloads: (external link)
https://doi.org/10.1111/j.1467-9892.1981.tb00319.x

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:2:y:1981:i:3:p:155-171

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0143-9782

Access Statistics for this article

Journal of Time Series Analysis is currently edited by M.B. Priestley

More articles in Journal of Time Series Analysis from Wiley Blackwell
Bibliographic data for series maintained by Wiley Content Delivery ().