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


Citation

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

Abstract / Synopsis

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


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Additional Metadata

Item Type: Article
Subject: Autoregression (Statistics)
Subject: Time-series analysis
Subject: Mathematical statistics
Divisions: Faculty of Science
DOI Number: 10.1080/03610921003765784
Publisher: Taylor&Francis
Keywords: Autoregression; Moving average; Errors; Autocorrelations; Variance; Autocovariance; Spectral density; Estimation; Time series; Fractional differencing; Long memory; Estimation
Depositing User: Najwani Amir Sariffudin
Date Deposited: 23 Apr 2012 17:04
Last Modified: 29 Oct 2012 10:22
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1080/03610921003765784
URI: http://psasir.upm.edu.my/id/eprint/17418
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