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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| 言語: | English English |
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Taylor & Francis
2013
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| オンライン･アクセス: | 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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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 |
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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 |
13.250246 |