Approximate Asymptotic Variance-Covariance Matrix for the Whittle Estimators of GAR(1) Parameters

DOI10.1080/03610926.2011.569862zbMath1347.62186OpenAlexW2025893986MaRDI QIDQ4921636

Mahendran Shitan, M. Shelton Peiris

Publication date: 13 May 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: http://psasir.upm.edu.my/id/eprint/30018/1/Approximate%20asymptotic%20variance.pdf

zbMATH Keywords

time seriesvarianceasymptoticspectral densitycovariancegeneralized autoregressionWhittle's estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (3)

Fractionally differenced Gegenbauer processes with long memory: a review ⋮ State space modeling of Gegenbauer processes with long memory ⋮ Forecasting highly persistent time series with bounded spectrum processes

Cites Work

• Unnamed Item
• An introduction to volatility models with indices
• Time Series Properties of the Class of Generalized First-Order Autoregressive Processes with Moving Average Errors
• Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS

This page was built for publication: Approximate Asymptotic Variance-Covariance Matrix for the Whittle Estimators of GAR(1) Parameters