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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| 主要な著者: | , |
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| フォーマット: | 論文 |
| 言語: | English English |
| 出版事項: |
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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