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Memorial University - Electronic Theses and Dissertations 3
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Document Description
TitleIdentification and estimation of a first order bilinear time series
AuthorAfariebor, Roland, 1973-
DescriptionThesis (M.A.S.)--Memorial University of Newfoundland, 2001. Mathematics and Statistics
Paginationvii, 68 leaves : ill.
SubjectTime-series analysis; Nonlinear theories
Degree GrantorMemorial University of Newfoundland. Dept. of Mathematics and Statistics
DisciplineMathematics and Statistics
NotesBibliography: leaves 66-68
AbstractIn 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.
Resource TypeElectronic thesis or dissertation
FormatImage/jpeg; Application/pdf
SourcePaper copy kept in the Centre for Newfoundland Studies, Memorial University Libraries
Local Identifiera1538758
RightsThe 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.
CollectionElectronic Theses and Dissertations
Scanning StatusCompleted
PDF File(6.87 MB) --
CONTENTdm file name96101.cpd