Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study

DOI10.1080/03610910701649598zbMath1159.62325OpenAlexW2030612970MaRDI QIDQ3625279

Mahendran Shitan, M. Shelton Peiris

Publication date: 12 May 2009

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910701649598

zbMATH Keywords

simulationsmethod of moments estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of hypergeometric functions (33C90)

Related Items (7)

Fractionally differenced Gegenbauer processes with long memory: a review ⋮ State space modeling of Gegenbauer processes with long memory ⋮ A note on the properties of generalised separable spatial autoregressive process ⋮ Seasonal generalized AR models ⋮ Time Series Properties of the Class of Generalized First-Order Autoregressive Processes with Moving Average Errors ⋮ Approximate Asymptotic Variance-Covariance Matrix for the Whittle Estimators of GAR(1) Parameters ⋮ On properties of the second order generalized autoregressive GAR(2) model with index

Cites Work

• Time series: theory and methods.
• LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS
• Introduction to Time Series and Forecasting

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