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 China 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 |
Appears in Collections: | Journal/Magazine Article |
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