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A note on the variance of generalized first order autoregressive processes with moving average errors


Citation

Shitan, Mahendran (2008) A note on the variance of generalized first order autoregressive processes with moving average errors. InterStat, August. art. no. 2. pp. 1-9. ISSN 1941-689X

Abstract

A new class of time series models known as Generalised Autore-gressive of order one with flrst order moving average errors has been introduced in order to reveal some hidden features of certain time se- ries data. A closed form of the variance of the process is derived. It is shown that in special cases this new result reduces to the standard ARMA results.


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Additional Metadata

Item Type: Article
Divisions: Faculty of Science
Institute for Mathematical Research
Publisher: InterStat
Keywords: Autoregression; Moving average; Errors; Autocorrelations; Variance; Spectral density; Fractional differencing; Long memory
Depositing User: Nurul Ainie Mokhtar
Date Deposited: 29 May 2015 08:43
Last Modified: 29 May 2015 08:43
URI: http://psasir.upm.edu.my/id/eprint/12770
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