UPM Institutional Repository

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.


Download File

[img]
Preview
PDF (Abstract)
Approximate asymptotic variance.pdf

Download (83kB) | Preview

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

Actions (login required)

View Item View Item