ON THE AUTOCORRELATION STRUCTURE AND IDENTIFICATION OF SOME BILINEAR TIME SERIES

W. K. Li

Journal of Time Series Analysis, 1984, vol. 5, issue 3, 173-181

Abstract: Abstract. For the bilinear time series Xt=βXt‐ket‐l+ev, k≥l, formulas for the first k‐1 autocorrelations of X2t are obtained. These results fill in a gap in Granger and Andersen (1978). Simulation experiments are used to study the applicability of theoretical results and to investigate some more general situations. It is found that if ß is not too small, k and l may be identified using the autocorrelations of X2t. Application to more general situations is also briefly discussed.

Date: 1984
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