Approximate asymptotic variance-covariance matrix for the whittle estimators of GAR(1) parameters

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Approximate asymptotic variance-covariance matrix for the whittle estimators of GAR(1) parameters

Generalized Autoregressive (GAR) processes have been considered to model some features in time series. The Whittle's estimates have been investigated for the GAR(1) process by a simulation study by Shitan and Peiris (2008). This article derives approximate theoretical expressions for the enteri...

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Bibliographic Details
Main Authors:	Shitan, Mahendran, Peiris, Shelton
Format:	Article
Language:	English English
Published:	Taylor & Francis 2013
Online Access:	http://psasir.upm.edu.my/id/eprint/30018/ http://psasir.upm.edu.my/id/eprint/30018/1/Approximate%20asymptotic%20variance.pdf

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