Citation
Shitan, Mahendran and Peiris, Shelton
(2009)
On properties of the second order generalized autoregressive GAR(2) model with index.
Mathematics and Computers in Simulation, 80 (2).
pp. 367-377.
ISSN 0378-4754
Abstract
In this paper we consider a new class of time series models generated by a second order autoregressive type operator with an index. Autocorrelation and spectral properties are discussed and some explicit results are derived for a restricted class in the family. The parameter estimation is discussed using the Whittle procedure. Some numerical results are presented to support the theoretical results.
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Science |
| DOI Number: | https://doi.org/10.1016/j.matcom.2009.07.007 |
| Publisher: | Elsevier |
| Keywords: | Autoregression; Autocorrelations; Autocovariance; Spectral density; Estimation. |
| Depositing User: | Najwani Amir Sariffudin |
| Date Deposited: | 25 Jul 2013 03:34 |
| Last Modified: | 25 Jul 2013 03:34 |
| Altmetrics: | http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1016/j.matcom.2009.07.007 |
| URI: | http://psasir.upm.edu.my/id/eprint/15905 |
| Statistic Details: | View Download Statistic |
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