On properties of the second order generalized autoregressive GAR(2) model with index.

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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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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/

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