Asian Journal of Mathematics & Statistics1994-54182077-2068Asian Network for Scientific Information10.3923/ajms.2008.150.158OjoJ.F. 3200813In this study, discrete spectral and bi-spectral analysis
of time series data were considered to determine which of them perform
better. The parameters of the spectral and bi-spectral models were estimated
using Modified Newton Raphson Iterative method. Since the order of a model
cannot be increased indiscriminately because of the closeness of some
parameters to zero; discrete spectral and bi-spectral analysis model of
orders one to five were fitted to the real series. Akaike Information
Criterion (AIC) and Bayesian Information Criterion (BIC) were used to
determine the best order of the model. To determine the best model, the
residual variance attached to the spectral and bi-spectral models was
used. Order one and order four gave the best order in spectral and bi-spectral
models, respectively. Residual variances of spectral and bi-spectral models
compared favourably with each other. The residual variance of bi-spectral
model was smaller than the residual variance of spectral model and this
made us to conclude that bi-spectral analysis of time series data performed
better than spectral analysis of time series data.]]>Beard, A.G., N.J. Mitchell, P.J.S. Williams and M. Kunitake,199961363376Akaike, H.,197419716723Anderson, T.W.,19711st Edn.,Annene, J.D.,19901st Edn.,Box, G. and Jenkins,19761st Edn.,Li, C.J., J. Ma, B. Hwang and G.W. Nickerson,19911991pp: 111Debra, G., N. Hunter, C. Farrar and R. Deen,20002000pp: 17Shen, M. and L. Sun,19971997pp: 2933Shittu, O.I. and D.K. Shangodoyin,20081130137Barker, R.W. and M.J. Hinich,19931993pp: 187197Rivola, A. and P.R. White,1998216889910Robert, V.F. and H. Lee,200021649662Wojtek, J.K.,19981st Edn.,