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 |
| Statistic Details: | View Download Statistic |
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