Lower Triangular Vector Bilinear Autoregressive Time Series Model
Journal Title: Scholars Journal of Physics, Mathematics and Statistics - Year 2017, Vol 4, Issue 2
Abstract
This work proposed a strategy for fitting a subset form of a vector bilinear model. In this case, lower triangular portion of the vector linear and non-linear components of a vector autoregressive bilinear structure was considered. The workability of the method was illustrated using a 3 – dimensional vector of time series. The models were found to fulfil the assumptions of model adequacy and each time dependent variable depended only on a subset of lagged time varying quantities under consideration. Apart from being parsimonious, the fitted models were found to perform better than the parent vector bilinear autoregressive models as revealed by some statistical comparative analysis.
Authors and Affiliations
Iberedem A. Iwok
Keywords
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