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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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Main Authors: Shitan, Mahendran, Peiris, Shelton
Format: Article
Language:English
English
Published: Taylor & Francis 2013
Online Access:http://psasir.upm.edu.my/id/eprint/30018/1/Approximate%20asymptotic%20variance.pdf
http://psasir.upm.edu.my/id/eprint/30018/
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spelling my.upm.eprints.300182016-02-03T01:53:12Z http://psasir.upm.edu.my/id/eprint/30018/ Approximate asymptotic variance-covariance matrix for the whittle estimators of GAR(1) parameters Shitan, Mahendran Peiris, Shelton 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 enteries of the asymptotic variance-covariance matrix for those estimates of GAR(1) parameters. These results are supported by a simulation study. Taylor & Francis 2013 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/30018/1/Approximate%20asymptotic%20variance.pdf Shitan, Mahendran and Peiris, Shelton (2013) Approximate asymptotic variance-covariance matrix for the whittle estimators of GAR(1) parameters. Communications in Statistics: Theory and Methods, 42 (5). pp. 756-770. ISSN 0361-0926; ESSN: 1532-415X 10.1080/03610926.2011.569862 English
institution Universiti Putra Malaysia
building UPM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Putra Malaysia
content_source UPM Institutional Repository
url_provider http://psasir.upm.edu.my/
language English
English
description 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 enteries of the asymptotic variance-covariance matrix for those estimates of GAR(1) parameters. These results are supported by a simulation study.
format Article
author Shitan, Mahendran
Peiris, Shelton
spellingShingle Shitan, Mahendran
Peiris, Shelton
Approximate asymptotic variance-covariance matrix for the whittle estimators of GAR(1) parameters
author_facet Shitan, Mahendran
Peiris, Shelton
author_sort Shitan, Mahendran
title Approximate asymptotic variance-covariance matrix for the whittle estimators of GAR(1) parameters
title_short Approximate asymptotic variance-covariance matrix for the whittle estimators of GAR(1) parameters
title_full Approximate asymptotic variance-covariance matrix for the whittle estimators of GAR(1) parameters
title_fullStr Approximate asymptotic variance-covariance matrix for the whittle estimators of GAR(1) parameters
title_full_unstemmed Approximate asymptotic variance-covariance matrix for the whittle estimators of GAR(1) parameters
title_sort approximate asymptotic variance-covariance matrix for the whittle estimators of gar(1) parameters
publisher Taylor & Francis
publishDate 2013
url http://psasir.upm.edu.my/id/eprint/30018/1/Approximate%20asymptotic%20variance.pdf
http://psasir.upm.edu.my/id/eprint/30018/
_version_ 1643829932384583680
score 13.211869

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