Characterizations of the Moments of the Purely Diagonal Bilinear
Time Series Model of Order One
by Ohakwe, Johnson and Iheanyi S. Iwueze.
In this paper, we study the dissimilarities between a purely diagonal bilinear process of order one [PDB(1)] and a moving average process of order one [MA(1)] by comparing their first, second and fourth order moments. The well known similarity between their covariance structure was discovered to be true only when the autocorrelation function at lag one lies between zero and 0.16. With respect to the fourth moments, the PDB(1) process identifies as an autoregressive moving average process of order p=1 and q=1 while the equivalent non-zero mean MA(1) process identifies as an MA(1) process.
Purely bilinear process, moving average process, moments,
autocorrelation function, covariance structure
Johnson Ohakwe, firstname.lastname@example.org
Iheanyi S. Iwueze, email@example.com
Peiris Shelton, firstname.lastname@example.org
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