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

DOI10.1016/J.MATCOM.2009.07.007MaRDI QIDQ1037798zbMATH OpenOpenAlexFDO

Authors Mahendran Shitan, Shelton Peiris

Publication date 16 November 2009

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2009.07.007

zbMATH Keywords

autocorrelationsautocovarianceautoregressionestimationspectral density

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• An introduction to volatility models with indices
• Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study
• scientific article; zbMATH DE number 486467 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Improving the quality of forecasting using generalized AR models: an application to statistical quality control
• LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS
• ON GENERALIZED FRACTIONAL PROCESSES

Cited in

(6)

• Fractionally differenced Gegenbauer processes with long memory: a review
• Properties of the Autocorrelation Function of Squared Observations for Second-order Garch Processes Under Two Sets of Parameter Constraints
• Forecasting highly persistent time series with bounded spectrum processes
• Seasonal generalized AR models
• RETRACTED ARTICLE: Some properties of the generalized autoregressive moving average (GARMA(1, 2; δ, 1)) model
• On several properties of a novel class of generalized Humbert autoregressive moving average process

Describes a project that uses

Uses Software

• longmemo

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