Time Series Properties of the Class of Generalized First-Order Autoregressive Processes with Moving Average Errors

DOI10.1080/03610921003765784zbMath1318.62281OpenAlexW2085582903MaRDI QIDQ3017837

Mahendran Shitan, M. Shelton Peiris

Publication date: 20 July 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://psasir.upm.edu.my/id/eprint/17417/1/Time%20series%20properties%20of%20the%20class%20of%20generalized%20first.pdf

zbMATH Keywords

errorsestimationtime seriesvariancelong memoryspectral densityautocorrelationsfractional differencingautoregressionmoving averageautocovariance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

On the vector-valued generalized autoregressive models ⋮ Forecasting highly persistent time series with bounded spectrum processes ⋮ Seasonal generalized AR models ⋮ RETRACTED ARTICLE: Some properties of the generalized autoregressive moving average (GARMA(1, 2; δ, 1)) model ⋮ Approximate Asymptotic Variance-Covariance Matrix for the Whittle Estimators of GAR(1) Parameters

Uses Software

• longmemo

Cites Work

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• An introduction to volatility models with indices
• Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study
• LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS

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