Multivariate Linear And Bilinear Time Series Models And Their Applications To Revenue Data
ABSTRACT
Multivariate time series
modeling has been carried out in this work. We considered three vector series;
a response vector X 11 and two predictor vectors X21 and X31. The distribution
of autocorrelation and partial autocorrelation functions of the non-stationary
series suggested a pure autoregressive process for the three vector series.
These give basis for expression of order of relationship between the response
and predictor vectors. In this work, generalized form of multivariate bilinear
time series models have been established. The Autoregressive Vector (ARV)
models were initially estimated with the three vector series. From the
multivariate linear models. we made an extension to bilinear vector series.
Bilinear Autoregressive Vector (BARV) models and Pure Diagonal Bilinear
Autoregressive Vector (PDBARV) models have been established for vectors, which
follow a pure autoregressive process. The estimates from both multivariate
linear and bilinear models indicate that the I BARY and PDBARV models have
higher precision than ARV models, especially j when estimating economic and
financial data
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ANTHONY, E (2022). Multivariate Linear And Bilinear Time Series Models And Their Applications To Revenue Data. Repository.mouau.edu.ng: Retrieved Apr 23, 2024, from https://repository.mouau.edu.ng/work/view/multivariate-linear-and-bilinear-time-series-models-and-their-applications-to-revenue-data-7-2
EFFIONG, ANTHONY. "Multivariate Linear And Bilinear Time Series Models And Their Applications To Revenue Data" Repository.mouau.edu.ng. Repository.mouau.edu.ng, 17 Nov. 2022, https://repository.mouau.edu.ng/work/view/multivariate-linear-and-bilinear-time-series-models-and-their-applications-to-revenue-data-7-2. Accessed 23 Apr. 2024.
EFFIONG, ANTHONY. "Multivariate Linear And Bilinear Time Series Models And Their Applications To Revenue Data". Repository.mouau.edu.ng, Repository.mouau.edu.ng, 17 Nov. 2022. Web. 23 Apr. 2024. < https://repository.mouau.edu.ng/work/view/multivariate-linear-and-bilinear-time-series-models-and-their-applications-to-revenue-data-7-2 >.
EFFIONG, ANTHONY. "Multivariate Linear And Bilinear Time Series Models And Their Applications To Revenue Data" Repository.mouau.edu.ng (2022). Accessed 23 Apr. 2024. https://repository.mouau.edu.ng/work/view/multivariate-linear-and-bilinear-time-series-models-and-their-applications-to-revenue-data-7-2