Memorial University DAI: Identification and estimation of a first order bilinear time series

advanced search

Digital Archives Initiative
Memorial University - Electronic Theses and Dissertations 3

menu off

add document to favorites : add page to favorites : reference url

back to results : previous : next

Search this object:

0 hit(s) :: previous hit : next hit

View:

previous page : next page

Document Description

Title	Identification and estimation of a first order bilinear time series
Author	Afariebor, Roland, 1973-
Description	Thesis (M.A.S.)--Memorial University of Newfoundland, 2001. Mathematics and Statistics
Date	2001
Pagination	vii, 68 leaves : ill.
Subject	Time-series analysis; Nonlinear theories
Degree	M.A.S.
Degree Grantor	Memorial University of Newfoundland. Dept. of Mathematics and Statistics
Discipline	Mathematics and Statistics
Language	Eng
Notes	Bibliography: leaves 66-68
Abstract	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.
Type	Text
Resource Type	Electronic thesis or dissertation
Format	Image/jpeg; Application/pdf
Source	Paper copy kept in the Centre for Newfoundland Studies, Memorial University Libraries
Local Identifier	a1538758
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.
Collection	Electronic Theses and Dissertations
Scanning Status	Completed
PDF File	(6.87 MB) -- http://collections.mun.ca/PDFs/theses/Afariebor_Roland.pdf
CONTENTdm file name	96101.cpd