Identification of the coefficients in a non-linear time series of the quadratic type

DOI10.1016/0304-4076(85)90140-XMaRDI QIDQ1069633zbMATH OpenFDO

Authors Melvin J. Hinich, Douglas M. Patterson

Publication date 1985

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4076(85)90140-X

zbMATH Keywords

bicovariancefinite parameter modelnon-linear time seriesquadratic modelsecond- order Volterra expansion of a stable non-linear filterthird-order cumulant

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Identification in stochastic control theory (93E12)

Review text

This paper presents a method for identifying the structure of the quadratic model \[ x(t)=\dot e(t)+\sum^{R}_{r=1}\sum^{S}_{s=0}a(r,s)e(t-s)e(t-r-s), \] where the e(t) are independent, identically distributed zero mean random variables. This finite parameter model is a simplified second-order Volterra expansion of a stable non-linear filter. The standard deviation of e(t) is not estimable from observations of the x(t). It is shown that the \((m,m+n)th\) third-order cumulant (called the bicovariance) of \(\{\) x(t)\(\}\) is equal to a(m,n) times the square of the variance of e(t). The large sample distribution of the sample bicovariance is used to determine which quadratic coefficients are significantly different from zero. The method is illustrated using artificial and real data; daily stock price series for several securities.

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Cited in

(5)

• Empirical chaotic dynamics in economics
• scientific article; zbMATH DE number 4137298 (Why is no real title available?)
• Quadratic prediction of time series via auto-cumulants
• Improving of the identification algorithm for a quasilinear recurrence equation
• Time series nonlinearity modeling: A Giannakis formula type approach

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