The Taylor Property in Bilinear Models
The aim of this paper is to discuss the presence of the Taylor property in the class of simple bilinear models. Considering strictly and weakly stationary models, we deduce autocorrelations of the process and of its square and analyze the presence of the Taylor property in non-negative bilinear mod...
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| Format: | Article |
| Language: | English |
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Instituto Nacional de Estatística | Statistics Portugal
2015-11-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/172 |
| _version_ | 1828148525013139456 |
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| author | E. Gonçalves C.M. Martins N. Mendes-Lopes |
| author_facet | E. Gonçalves C.M. Martins N. Mendes-Lopes |
| author_sort | E. Gonçalves |
| collection | DOAJ |
| description |
The aim of this paper is to discuss the presence of the Taylor property in the class of simple bilinear models. Considering strictly and weakly stationary models, we deduce autocorrelations of the process and of its square and analyze the presence of the Taylor property in non-negative bilinear models considering several error process distributions, which are chosen according to the kurtosis value. For each one of these error process distributions, the class of parameterizations for the corresponding bilinear model satisfying Taylor property is obtained. The analysis of the relationship between the Taylor property and leptokurtosis in these bilinear processes allows to conclude that this property is a consequence of heavy tailed model distributions. With the goal of extending this research to real valued bilinear models, a simulation study is developed in a class of such models with symmetrical innovations.
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| first_indexed | 2024-04-11T21:16:16Z |
| format | Article |
| id | doaj.art-fa1acf1ec5de4237929e1207b5cb4b9c |
| institution | Directory Open Access Journal |
| issn | 1645-6726 2183-0371 |
| language | English |
| last_indexed | 2024-04-11T21:16:16Z |
| publishDate | 2015-11-01 |
| publisher | Instituto Nacional de Estatística | Statistics Portugal |
| record_format | Article |
| series | Revstat Statistical Journal |
| spelling | doaj.art-fa1acf1ec5de4237929e1207b5cb4b9c2022-12-22T04:02:49ZengInstituto Nacional de Estatística | Statistics PortugalRevstat Statistical Journal1645-67262183-03712015-11-0113310.57805/revstat.v13i3.172The Taylor Property in Bilinear ModelsE. Gonçalves 0C.M. Martins 1N. Mendes-Lopes 2Universidade de CoimbraUniversidade de CoimbraUniversidade de Coimbra The aim of this paper is to discuss the presence of the Taylor property in the class of simple bilinear models. Considering strictly and weakly stationary models, we deduce autocorrelations of the process and of its square and analyze the presence of the Taylor property in non-negative bilinear models considering several error process distributions, which are chosen according to the kurtosis value. For each one of these error process distributions, the class of parameterizations for the corresponding bilinear model satisfying Taylor property is obtained. The analysis of the relationship between the Taylor property and leptokurtosis in these bilinear processes allows to conclude that this property is a consequence of heavy tailed model distributions. With the goal of extending this research to real valued bilinear models, a simulation study is developed in a class of such models with symmetrical innovations. https://revstat.ine.pt/index.php/REVSTAT/article/view/172bilinear modelsnonlinear time seriesstationarityTaylor property |
| spellingShingle | E. Gonçalves C.M. Martins N. Mendes-Lopes The Taylor Property in Bilinear Models Revstat Statistical Journal bilinear models nonlinear time series stationarity Taylor property |
| title | The Taylor Property in Bilinear Models |
| title_full | The Taylor Property in Bilinear Models |
| title_fullStr | The Taylor Property in Bilinear Models |
| title_full_unstemmed | The Taylor Property in Bilinear Models |
| title_short | The Taylor Property in Bilinear Models |
| title_sort | taylor property in bilinear models |
| topic | bilinear models nonlinear time series stationarity Taylor property |
| url | https://revstat.ine.pt/index.php/REVSTAT/article/view/172 |
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