Time series properties of the class of generalized first order autoregressive processes with moving average errors

Shitan, Mahendran and Shelton, Peiris (2011) Time series properties of the class of generalized first order autoregressive processes with moving average errors. Communications in Statistics: Theory and Methods, 40 (13). pp. 2259-2275. ISSN 0361-0926

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A new class of time series models known as of order one with first order moving average errors has been introduced in order to reveal some hidden features of certain time series data. The variance and autocovariance of the process is derived in order to study the behaviour of the process. It is shown that in special cases these new results reduce to the standard ARMA results. Estimation of parameters based on the Whittle procedure is discussed. We illustrate the use of this class of model by using two examples

Item Type:Article
Keyword:Autoregression; Moving average; Errors; Autocorrelations; Variance; Autocovariance; Spectral density; Estimation; Time series; Fractional differencing; Long memory; Estimation
Subject:Autoregression (Statistics)
Subject:Time-series analysis
Subject:Mathematical statistics
Faculty or Institute:Faculty of Science
DOI Number:10.1080/03610921003765784
ID Code:17418
Deposited By: Najwani Amir Sariffudin
Deposited On:23 Apr 2012 09:04
Last Modified:29 Oct 2012 02:22

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