A note on the variance of generalized first order autoregressive processes with moving average errors
A new class of time series models known as Generalised Autore-gressive of order one with flrst order moving average errors has been introduced in order to reveal some hidden features of certain time se- ries data. A closed form of the variance of the process is derived. It is shown that in special c...
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| Format: | Article |
| Published: |
InterStat
2008
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| Online Access: | http://psasir.upm.edu.my/id/eprint/12770/ http://interstat.statjournals.net/YEAR/2008/articles/0808002.pdf |
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| Summary: | A new class of time series models known as Generalised Autore-gressive of order one with flrst order moving average errors has been introduced in order to reveal some hidden features of certain time se- ries data. A closed form of the variance of the process is derived. It is shown that in special cases this new result reduces to the standard ARMA results. |
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