AUTOCORRELATION FUNCTION STRUCTURE OF BILINEAR TIME SREIES MODELS

  • Kim, Won-Kyung (Department of Mathematics Education, Korea National University of Education, Chonwon, Chung-buk, 363-791)
  • 발행 : 1992.06.01

초록

The autocorrelation function structures of bilinear time series model BL(p, q, r, s), $r \geq s$ are obtained and shown to be analogous to those of ARMA(p, l), l=max(q, s). Simulation studies are performed to investigate the adequacy of Akaike information criteria for identification between ARMA(p, l) and BL(p, q, r, s) models and for determination of orders of BL(p, q, r, s) models. It is suggested that the model of having minimum Akaike information criteria is selected for a suitable model.

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