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  2. Vol 2 (2), 2009
  3. 33-40
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Asian Journal of Mathematics & Statistics

Year: 2009 | Volume: 2 | Issue: 2 | Page No.: 33-40
DOI: 10.3923/ajms.2009.33.40

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Authors


I.A. Iwok

Country: Nigeria

E.H. Etuk

Country: Nigeria

Keywords


  • partial autocorrelation function
  • autocorrelation function
  • vector MA process
  • Vector AR process
  • vector bilinear process
Research Article

On the Comparative Performance of Pure Vector Autoregressive-Moving Average and Vector Bilinear Autoregressive-Moving Average Time Series Models

I.A. Iwok and E.H. Etuk
This study was motivated by the need to establish a vector form of autoregressive moving average (VARMA) models comprising linear and non linear components that could compete with the pure vector linear VARMA models. General bilinear vector autoregressive moving average (BIVARMA) was established as an extension of the univariate bilinear model. Three revenue series identified as autoregressive (AR) and Moving Average (MA) processes on the basis of the distribution of autocorrelation and partial autocorrelation functions were used to illustrate the performances of the two competing vector forms in terms of estimates and residual variances. Graphical comparisons were also made. The results showed that BIVARMA models established perform best and provide better estimates than the VARMA models.
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How to cite this article

I.A. Iwok and E.H. Etuk, 2009. On the Comparative Performance of Pure Vector Autoregressive-Moving Average and Vector Bilinear Autoregressive-Moving Average Time Series Models. Asian Journal of Mathematics & Statistics, 2: 33-40.

DOI: 10.3923/ajms.2009.33.40

URL: https://scialert.net/abstract/?doi=ajms.2009.33.40

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