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 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 sho...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Taylor&Francis
2011
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| Online Access: | http://psasir.upm.edu.my/id/eprint/17418/ |
| _version_ | 1848843236168171520 |
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| author | Shitan, Mahendran Shelton, Peiris |
| author_facet | Shitan, Mahendran Shelton, Peiris |
| author_sort | Shitan, Mahendran |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | A new class of time series models known as 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-17418 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T08:11:49Z |
| publishDate | 2011 |
| publisher | Taylor&Francis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-174182012-10-29T02:22:44Z http://psasir.upm.edu.my/id/eprint/17418/ Time series properties of the class of generalized first order autoregressive processes with moving average errors Shitan, Mahendran Shelton, Peiris A new class of time series models known as 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 2011 Article PeerReviewed Shitan, Mahendran and Shelton, Peiris (2011) 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. 2259-2275. ISSN 0361-0926 Autoregression (Statistics) Time-series analysis Mathematical statistics 10.1080/03610921003765784 English |
| spellingShingle | Autoregression (Statistics) Time-series analysis Mathematical statistics Shitan, Mahendran Shelton, Peiris 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 |
| topic | Autoregression (Statistics) Time-series analysis Mathematical statistics |
| url | http://psasir.upm.edu.my/id/eprint/17418/ http://psasir.upm.edu.my/id/eprint/17418/ |