A note on the variance of generalized first order autoregressive processes with moving average errors
A new class of time series models known as Generalised Autore-gressive of order one with flrst order moving average errors has been introduced in order to reveal some hidden features of certain time se- ries data. A closed form of the variance of the process is derived. It is shown that in special c...
| Main Author: | |
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| Format: | Article |
| Published: |
InterStat
2008
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| Online Access: | http://psasir.upm.edu.my/id/eprint/12770/ |
| _version_ | 1848841926073122816 |
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| author | Shitan, Mahendran |
| author_facet | Shitan, Mahendran |
| author_sort | Shitan, Mahendran |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | A new class of time series models known as Generalised Autore-gressive of order one with flrst order moving average errors has been introduced in order to reveal some hidden features of certain time se- ries data. A closed form of the variance of the process is derived. It is shown that in special cases this new result reduces to the standard ARMA results. |
| first_indexed | 2025-11-15T07:50:59Z |
| format | Article |
| id | upm-12770 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-15T07:50:59Z |
| publishDate | 2008 |
| publisher | InterStat |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-127702015-05-29T08:43:00Z http://psasir.upm.edu.my/id/eprint/12770/ A note on the variance of generalized first order autoregressive processes with moving average errors Shitan, Mahendran A new class of time series models known as Generalised Autore-gressive of order one with flrst order moving average errors has been introduced in order to reveal some hidden features of certain time se- ries data. A closed form of the variance of the process is derived. It is shown that in special cases this new result reduces to the standard ARMA results. InterStat 2008-08 Article PeerReviewed Shitan, Mahendran (2008) A note on the variance of generalized first order autoregressive processes with moving average errors. InterStat, August. art. no. 2. pp. 1-9. ISSN 1941-689X http://interstat.statjournals.net/YEAR/2008/articles/0808002.pdf |
| spellingShingle | Shitan, Mahendran A note on the variance of generalized first order autoregressive processes with moving average errors |
| title | A note on the variance of generalized first order autoregressive processes with moving average errors |
| title_full | A note on the variance of generalized first order autoregressive processes with moving average errors |
| title_fullStr | A note on the variance of generalized first order autoregressive processes with moving average errors |
| title_full_unstemmed | A note on the variance of generalized first order autoregressive processes with moving average errors |
| title_short | A note on the variance of generalized first order autoregressive processes with moving average errors |
| title_sort | note on the variance of generalized first order autoregressive processes with moving average errors |
| url | http://psasir.upm.edu.my/id/eprint/12770/ http://psasir.upm.edu.my/id/eprint/12770/ |