Approximate asymptotic variance-covariance matrix for the whittle estimators of GAR(1) parameters

Citation

Shitan, Mahendran and Peiris, Shelton (2013) Approximate asymptotic variance-covariance matrix for the whittle estimators of GAR(1) parameters. Communications in Statistics: Theory and Methods, 42 (5). pp. 756-770. ISSN 0361-0926; ESSN: 1532-415X

Abstract

Generalized Autoregressive (GAR) processes have been considered to model some features in time series. The Whittle's estimates have been investigated for the GAR(1) process by a simulation study by Shitan and Peiris (2008). This article derives approximate theoretical expressions for the enteries of the asymptotic variance-covariance matrix for those estimates of GAR(1) parameters. These results are supported by a simulation study.

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Additional Metadata

Item Type:	Article
Divisions:	Faculty of Science
DOI Number:	https://doi.org/10.1080/03610926.2011.569862
Publisher:	Taylor & Francis
Keywords:	Asymptotic; Covariance; Generalized Autoregression; Spectral density; Time series; Variance; Whittle's estimation.
Depositing User:	Umikalthom Abdullah
Date Deposited:	17 Jun 2014 07:15
Last Modified:	03 Feb 2016 01:53
Altmetrics:	http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1080/03610926.2011.569862
URI:	http://psasir.upm.edu.my/id/eprint/30018
Statistic Details:	View Download Statistic

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