ResearchBib Share Your Research, Maximize Your Social Impacts
Sign for Notice Everyday Sign up >> Login

On The Identification of the Simple Bilinear White Noise Process

Journal: International Journal of Science and Research (IJSR) (Vol.6, No. 6)

Publication Date:

Authors : ; ; ; ;

Page : 2815-2821

Keywords : Linear White Noise Process; Bilinear Stochastic Model; Bilinear White Noise Process; Second Order Analysis; Covariance Analysis;

Source : Downloadexternal Find it from : Google Scholarexternal

Abstract

Moments of the squares of simple bilinear process were determined under second order analysis for the purpose of identification and discriminating between bilinear process and linear white noise process. We showed how the variance of the bilinear white noise process can be used to distinguish it from the linear white noise process. The simulation results showed that the squared data of the bilinear white noise series fitted the ARMA (2, 1) model better than ARMA (1, 1) and MA (1)) models respectively.

Last modified: 2021-06-30 19:12:46