Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/9128
Title: Testing coefficients of AR and bilinear time series models by a graphical approach
Authors: Ip, W
Wong, H 
Li, Y
Luo, X
Keywords: AR model
Bilinear model
Graphical model
Issue Date: 2008
Publisher: Science Press
Source: Science in China, series a : mathematics, 2008, v. 51, no. 12, p. 2304-2314 How to cite?
Journal: Science in China, Series A: Mathematics 
Abstract: AR and bilinear time series models are expressed as time series chain graphical models, based on which, it is shown that the coefficients of AR and bilinear models are the conditional correlation coefficients conditioned on the other components of the time series. Then a graphically based procedure is proposed to test the significance of the coefficients of AR and bilinear time series. Simulations show that our procedure performs well both in sizes and powers.
URI: http://hdl.handle.net/10397/9128
DOI: 10.1007/s11425-008-0082-3
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