Testing coeffcients of AR and bilinear time series models by a graphical approach |
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| Authors: | IP WaiCheung WONG Heung LI Yuan & LUO XianHua |
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| Institution: | IP WaiCheung1,WONG Heung1,LI Yuan2 & LUO XianHua2 1 Department of Mathematics,The Hong Kong Polytechnic University,Hong Kong,China 2 School of Mathematics , Information Science,Guangzhou University,Guangzhou 510006,China |
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| Abstract: | AR and bilinear time series models are expressed as time series chain graphical models, based on which, it is shown that the coefficients of AR and bilinear models are the conditional correlation coefficients conditioned on the other components of the time series. Then a graphically based procedure is proposed to test the significance of the coeffcients of AR and bilinear time series. Simulations show that our procedure performs well both in sizes and powers. |
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| Keywords: | AR model bilinear model graphical model |
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