On properties of the second order generalized autoregressive GAR(2) model with index.
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...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2009
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| Online Access: | http://psasir.upm.edu.my/id/eprint/15905/ |
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| Summary: | 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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