Time series properties of the class of generalized first-order autoregressive processes with moving average errors

Time series properties of the class of generalized first-order autoregressive processes with moving average errors

A new class of time series models known as Generalized Autoregressive of order one with first-order moving average errors has been introduced in order to reveal some hidden features of certain time series data. The variance and autocovariance of the process is derived in order to study the behaviour...

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Main Authors: Peiris, Shelton, Shitan, Mahendran
Format: Article
Language:English
Published: Taylor & Francis 2009
Online Access:http://psasir.upm.edu.my/id/eprint/17417/1/Time%20series%20properties%20of%20the%20class%20of%20generalized%20first.pdf
http://psasir.upm.edu.my/id/eprint/17417/
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Institution: Universiti Putra Malaysia
Language: English
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spelling my.upm.eprints.174172015-10-29T01:51:42Z http://psasir.upm.edu.my/id/eprint/17417/ Time series properties of the class of generalized first-order autoregressive processes with moving average errors Peiris, Shelton Shitan, Mahendran A new class of time series models known as Generalized Autoregressive of order one with first-order moving average errors has been introduced in order to reveal some hidden features of certain time series data. The variance and autocovariance of the process is derived in order to study the behaviour of the process. It is shown that in special cases these new results reduce to the standard ARMA results. Estimation of parameters based on the Whittle procedure is discussed. We illustrate the use of this class of model by using two examples. Taylor & Francis 2009-09 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/17417/1/Time%20series%20properties%20of%20the%20class%20of%20generalized%20first.pdf Peiris, Shelton and Shitan, Mahendran (2009) Time series properties of the class of generalized first-order autoregressive processes with moving average errors. Communications in Statistics: Theory and Methods, 40 (13). pp. 71-92. ISSN 0361-0926; ESSN: 1532-415X 10.1080/03610921003765784
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 A new class of time series models known as Generalized Autoregressive of order one with first-order moving average errors has been introduced in order to reveal some hidden features of certain time series data. The variance and autocovariance of the process is derived in order to study the behaviour of the process. It is shown that in special cases these new results reduce to the standard ARMA results. Estimation of parameters based on the Whittle procedure is discussed. We illustrate the use of this class of model by using two examples.
format Article
author Peiris, Shelton
Shitan, Mahendran
spellingShingle Peiris, Shelton
Shitan, Mahendran
Time series properties of the class of generalized first-order autoregressive processes with moving average errors
author_facet Peiris, Shelton
Shitan, Mahendran
author_sort Peiris, Shelton
title Time series properties of the class of generalized first-order autoregressive processes with moving average errors
title_short Time series properties of the class of generalized first-order autoregressive processes with moving average errors
title_full Time series properties of the class of generalized first-order autoregressive processes with moving average errors
title_fullStr Time series properties of the class of generalized first-order autoregressive processes with moving average errors
title_full_unstemmed Time series properties of the class of generalized first-order autoregressive processes with moving average errors
title_sort time series properties of the class of generalized first-order autoregressive processes with moving average errors
publisher Taylor & Francis
publishDate 2009
url http://psasir.upm.edu.my/id/eprint/17417/1/Time%20series%20properties%20of%20the%20class%20of%20generalized%20first.pdf
http://psasir.upm.edu.my/id/eprint/17417/
_version_ 1643826510445936640

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