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: | Shitan, Mahendran, Peiris, Shelton |
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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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