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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2008
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my.upm.eprints.127702015-05-29T08:43:00Z http://psasir.upm.edu.my/id/eprint/12770/ A note on the variance of generalized first order autoregressive processes with moving average errors Shitan, Mahendran 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. InterStat 2008-08 Article PeerReviewed Shitan, Mahendran (2008) A note on the variance of generalized first order autoregressive processes with moving average errors. InterStat, August. art. no. 2. pp. 1-9. ISSN 1941-689X http://interstat.statjournals.net/YEAR/2008/articles/0808002.pdf |
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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. |
| format |
Article |
| author |
Shitan, Mahendran |
| spellingShingle |
Shitan, Mahendran A note on the variance of generalized first order autoregressive processes with moving average errors |
| author_facet |
Shitan, Mahendran |
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Shitan, Mahendran |
| title |
A note on the variance of generalized first order autoregressive processes with moving average errors |
| title_short |
A note on the variance of generalized first order autoregressive processes with moving average errors |
| title_full |
A note on the variance of generalized first order autoregressive processes with moving average errors |
| title_fullStr |
A note on the variance of generalized first order autoregressive processes with moving average errors |
| title_full_unstemmed |
A note on the variance of generalized first order autoregressive processes with moving average errors |
| title_sort |
note on the variance of generalized first order autoregressive processes with moving average errors |
| publisher |
InterStat |
| publishDate |
2008 |
| url |
http://psasir.upm.edu.my/id/eprint/12770/ http://interstat.statjournals.net/YEAR/2008/articles/0808002.pdf |
| _version_ |
1643825129861414912 |
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13.211869 |