Bilinear Autoregressive Moving Average Vector (BARMAV) Models are models aggregated with the linear and non-linear vector components of autoregressive and moving average processes. The linear part is the sum of the two vector processes, while the non-linear part is the product of the processes. From the general BARMAV models, Bilinear Autoregressive Vector (BARV) Models and Bilinear Moving Average Vector (BMAV) Models have been isolated. Under certain conditions, the models are proved to exist. Empirically, Nigerian consumer price index and inflation rate are used to test the fitness of the bilinear models. Data for the analysis are from Central Bank of Nigeria Statistical Bulletin, collected from January 2009 to December 2016 with November 2009 as the base year for each of the series. The bilinear autoregressive moving average vector models are fitted to the data. Parameters are tested and found to be significant. The adequacy of each estimated model is confirmed with ACF, PACF and descriptive statistics adopted in the paper. The plots of the actual and fitted CPI and IR have shown that models are adequate as estimates compete favourably with the actual values. The models are useful in modelling some economic and financial data that exhibit some characteristics of non-linearity.
| Published in | American Journal of Theoretical and Applied Statistics (Volume 7, Issue 5) |
| DOI | 10.11648/j.ajtas.20180705.13 |
| Page(s) | 180-187 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
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Copyright © The Author(s), 2018. Published by Science Publishing Group |
AR Process, MA Process, Linear and Bilinear Models
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APA Style
Anthony Effiong Usoro, Eyo Awakessien Clement. (2018). Necessary Conditions for Isolation of Special Classes of Bilinear Autoregressive Moving Average Vector (BARMAV) Models. American Journal of Theoretical and Applied Statistics, 7(5), 180-187. https://doi.org/10.11648/j.ajtas.20180705.13
ACS Style
Anthony Effiong Usoro; Eyo Awakessien Clement. Necessary Conditions for Isolation of Special Classes of Bilinear Autoregressive Moving Average Vector (BARMAV) Models. Am. J. Theor. Appl. Stat. 2018, 7(5), 180-187. doi: 10.11648/j.ajtas.20180705.13
AMA Style
Anthony Effiong Usoro, Eyo Awakessien Clement. Necessary Conditions for Isolation of Special Classes of Bilinear Autoregressive Moving Average Vector (BARMAV) Models. Am J Theor Appl Stat. 2018;7(5):180-187. doi: 10.11648/j.ajtas.20180705.13
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Download@article{10.11648/j.ajtas.20180705.13,
author = {Anthony Effiong Usoro and Eyo Awakessien Clement},
title = {Necessary Conditions for Isolation of Special Classes of Bilinear Autoregressive Moving Average Vector (BARMAV) Models},
journal = {American Journal of Theoretical and Applied Statistics},
volume = {7},
number = {5},
pages = {180-187},
doi = {10.11648/j.ajtas.20180705.13},
url = {https://doi.org/10.11648/j.ajtas.20180705.13},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ajtas.20180705.13},
abstract = {Bilinear Autoregressive Moving Average Vector (BARMAV) Models are models aggregated with the linear and non-linear vector components of autoregressive and moving average processes. The linear part is the sum of the two vector processes, while the non-linear part is the product of the processes. From the general BARMAV models, Bilinear Autoregressive Vector (BARV) Models and Bilinear Moving Average Vector (BMAV) Models have been isolated. Under certain conditions, the models are proved to exist. Empirically, Nigerian consumer price index and inflation rate are used to test the fitness of the bilinear models. Data for the analysis are from Central Bank of Nigeria Statistical Bulletin, collected from January 2009 to December 2016 with November 2009 as the base year for each of the series. The bilinear autoregressive moving average vector models are fitted to the data. Parameters are tested and found to be significant. The adequacy of each estimated model is confirmed with ACF, PACF and descriptive statistics adopted in the paper. The plots of the actual and fitted CPI and IR have shown that models are adequate as estimates compete favourably with the actual values. The models are useful in modelling some economic and financial data that exhibit some characteristics of non-linearity.},
year = {2018}
}
TY - JOUR T1 - Necessary Conditions for Isolation of Special Classes of Bilinear Autoregressive Moving Average Vector (BARMAV) Models AU - Anthony Effiong Usoro AU - Eyo Awakessien Clement Y1 - 2018/09/04 PY - 2018 N1 - https://doi.org/10.11648/j.ajtas.20180705.13 DO - 10.11648/j.ajtas.20180705.13 T2 - American Journal of Theoretical and Applied Statistics JF - American Journal of Theoretical and Applied Statistics JO - American Journal of Theoretical and Applied Statistics SP - 180 EP - 187 PB - Science Publishing Group SN - 2326-9006 UR - https://doi.org/10.11648/j.ajtas.20180705.13 AB - Bilinear Autoregressive Moving Average Vector (BARMAV) Models are models aggregated with the linear and non-linear vector components of autoregressive and moving average processes. The linear part is the sum of the two vector processes, while the non-linear part is the product of the processes. From the general BARMAV models, Bilinear Autoregressive Vector (BARV) Models and Bilinear Moving Average Vector (BMAV) Models have been isolated. Under certain conditions, the models are proved to exist. Empirically, Nigerian consumer price index and inflation rate are used to test the fitness of the bilinear models. Data for the analysis are from Central Bank of Nigeria Statistical Bulletin, collected from January 2009 to December 2016 with November 2009 as the base year for each of the series. The bilinear autoregressive moving average vector models are fitted to the data. Parameters are tested and found to be significant. The adequacy of each estimated model is confirmed with ACF, PACF and descriptive statistics adopted in the paper. The plots of the actual and fitted CPI and IR have shown that models are adequate as estimates compete favourably with the actual values. The models are useful in modelling some economic and financial data that exhibit some characteristics of non-linearity. VL - 7 IS - 5 ER -
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