IDEAS home Printed from https://ideas.repec.org/a/bla/jtsera/v13y1992i6p521-545.html
   My bibliography  Save this article

Frequency‐Domain Estimation Of Bilinear Time Series Models

Author

Listed:
  • S. A. O. Sesay
  • T. Subba Rao

Abstract

. Two frequency‐domain methods of estimation of the parameters of linear time series models–one based on maximum likelihood, called the ‘Whittle criterion’, and the other based on least squares, called the ‘Taniguchi criterion’–are discussed in this paper. A heuristic justification for their use in models such as bilinear models is given. The estimation theory and associated asymptotic theory of these methods are numerically illustrated for the bilinear model BL(p,0, p, 1). For that purpose, an approach based on the calculus of Kronecker product matrices is used to obtain the derivatives of the spectral density function of the state‐space form of the model.

Suggested Citation

  • S. A. O. Sesay & T. Subba Rao, 1992. "Frequency‐Domain Estimation Of Bilinear Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(6), pages 521-545, November.
    • Handle: RePEc:bla:jtsera:v:13:y:1992:i:6:p:521-545
    DOI: 10.1111/j.1467-9892.1992.tb00124.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1467-9892.1992.tb00124.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1467-9892.1992.tb00124.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Isabel Silva & M. Eduarda Silva & Isabel Pereira & Nélia Silva, 2005. "Replicated INAR(1) Processes," Methodology and Computing in Applied Probability, Springer, vol. 7(4), pages 517-542, December.
    2. T. Grahn, 1995. "A Conditional Least Squares Approach To Bilinear Time Series Estimation," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(5), pages 509-529, September.
    3. Maria Eduarda Silva & Vera Lúcia Oliveira, 2005. "Difference Equations for the Higher Order Moments and Cumulants of the INAR(p) Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 17-36, January.
    4. Maria Eduarda Da Silva & Vera Lúcia Oliveira, 2004. "Difference Equations for the Higher‐Order Moments and Cumulants of the INAR(1) Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(3), pages 317-333, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:13:y:1992:i:6:p:521-545. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.