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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Taylor & Francis
2009
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| Online Access: | http://psasir.upm.edu.my/id/eprint/17417/ http://psasir.upm.edu.my/id/eprint/17417/1/Time%20series%20properties%20of%20the%20class%20of%20generalized%20first.pdf |
| _version_ | 1848843235875618816 |
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| author | Peiris, Shelton Shitan, Mahendran |
| author_facet | Peiris, Shelton Shitan, Mahendran |
| author_sort | Peiris, Shelton |
| building | UPM Institutional Repository |
| collection | Online Access |
| 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. |
| first_indexed | 2025-11-15T08:11:49Z |
| format | Article |
| id | upm-17417 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T08:11:49Z |
| publishDate | 2009 |
| publisher | Taylor & Francis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-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 |
| spellingShingle | Peiris, Shelton Shitan, Mahendran Time series properties of the class of generalized first-order autoregressive processes with moving average errors |
| title | 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_short | 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 |
| url | http://psasir.upm.edu.my/id/eprint/17417/ http://psasir.upm.edu.my/id/eprint/17417/ http://psasir.upm.edu.my/id/eprint/17417/1/Time%20series%20properties%20of%20the%20class%20of%20generalized%20first.pdf |