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

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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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Bibliographic Details
Main Authors:	Peiris, Shelton, Shitan, Mahendran
Format:	Article
Language:	English
Published:	Taylor & Francis 2009
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

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