On properties of the second order generalized autoregressive GAR(2) model with index

DOI10.1016/J.MATCOM.2009.07.007zbMath1175.62097OpenAlexW1995849744MaRDI QIDQ1037798

Mahendran Shitan, M. Shelton Peiris

Publication date: 16 November 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2009.07.007

zbMATH Keywords

estimationspectral densityautocorrelationsautoregressionautocovariance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (3)

Fractionally differenced Gegenbauer processes with long memory: a review ⋮ Forecasting highly persistent time series with bounded spectrum processes ⋮ Seasonal generalized AR models

Uses Software

• longmemo

Cites Work

• An introduction to volatility models with indices
• Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• ON GENERALIZED FRACTIONAL PROCESSES
• LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS
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