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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
格式:	Article
語言:	English English
出版:	Taylor & Francis 2013
在線閱讀:	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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