An Introduction to Biospectral Analysis and Bilinear Time Series Models

Rao, T. Subba; Gabr, M. M.

ISBN 10: 3540960392 / ISBN 13: 9783540960393

Published by Springer-verlag, 1984

About this Item

Lecture Notes in Statistics #24; 280 clean, unmarked, tight pages with tanning around edges; very light shelf and corner wear on cover.

Seller Inventory # 72660F

Bibliographic Details

• Title: An Introduction to Biospectral Analysis and Bilinear Time Series Models
• Publisher: Springer-verlag
• Publication Date: 1984
• Language: English
• ISBN 10: 3540960392
• ISBN 13: 9783540960393
• Binding: Paperback
• Condition: GOOD
• Seller catalogs:
  • MATHEMATICS

About this title

Synopsis

The theory of time series models has been well developed over the last thirt, y years. Both the frequenc.y domain and time domain approaches have been widely used in the analysis of linear time series models. However. many physical phenomena cannot be adequately represented by linear models; hence the necessity of nonlinear models and higher order spectra. Recently a number of nonlinear models have been proposed. In this monograph we restrict attention to one particular nonlinear model. known as the bilinear model. The most interesting feature of such a model is that its second order covariance analysis is ve similar to that for a linear model. This demonstrates the importance of higher order covariance analysis for nonlinear models. For bilinear models it is also possible to obtain analytic expressions for covariances. spectra. etc. which are often difficult to obtain for other proposed nonlinear models. Estimation of bispectrum and its use in the construction of tests for linearit, y and symmetry are also discussed. All the methods are illustrated with simulated and real data. The first author would like to acknowledge the benefit he received in the preparation of this monograph from delivering a series of lectures on the topic of bilinear models at the University of Bielefeld. Ecole Normale Superieure. University of Paris (South) and the Mathematisch Cen trum. Ams terdam