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International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
www.ijsr.net | Open Access | Fully Refereed | Peer Reviewed International Journal

ISSN: 2319-7064



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On The Identification of the Simple Bilinear White Noise Process

Arimie, C. O., Biu, E. O.

Abstract: Moments of the squares of simple bilinear process were determined under second order analysis for the purpose of identification and discriminating between bilinear process and linear white noise process. We showed how the variance of the bilinear white noise process can be used to distinguish it from the linear white noise process. The simulation results showed that the squared data of the bilinear white noise series fitted the ARMA (2, 1) model better than ARMA (1, 1) and MA (1) ) models respectively.

Keywords: Linear White Noise Process, Bilinear Stochastic Model, Bilinear White Noise Process, Second Order Analysis, Covariance Analysis



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