Cover Image

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...

Full description

Saved in:
Bibliographic Details
Main Authors: Shitan, Mahendran, Peiris, Shelton
Format: Article
Language:English
Published: Elsevier 2009
Online Access:http://psasir.upm.edu.my/id/eprint/15905/
Tags: Add Tag
No Tags, Be the first to tag this record!
id my.upm.eprints.15905
record_format eprints
spelling my.upm.eprints.159052013-07-25T03:34:13Z http://psasir.upm.edu.my/id/eprint/15905/ On properties of the second order generalized autoregressive GAR(2) model with index. Shitan, Mahendran Peiris, Shelton 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. Elsevier 2009-10 Article PeerReviewed 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 10.1016/j.matcom.2009.07.007 English
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
description 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.
format Article
author Shitan, Mahendran
Peiris, Shelton
spellingShingle Shitan, Mahendran
Peiris, Shelton
On properties of the second order generalized autoregressive GAR(2) model with index.
author_facet Shitan, Mahendran
Peiris, Shelton
author_sort Shitan, Mahendran
title On properties of the second order generalized autoregressive GAR(2) model with index.
title_short On properties of the second order generalized autoregressive GAR(2) model with index.
title_full On properties of the second order generalized autoregressive GAR(2) model with index.
title_fullStr On properties of the second order generalized autoregressive GAR(2) model with index.
title_full_unstemmed On properties of the second order generalized autoregressive GAR(2) model with index.
title_sort on properties of the second order generalized autoregressive gar(2) model with index.
publisher Elsevier
publishDate 2009
url http://psasir.upm.edu.my/id/eprint/15905/
_version_ 1643826063622537216
score 13.160551

Similar Items