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On properties of the second order generalized autoregressive GAR(2) model with index

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  • Shitan, Mahendran
  • Peiris, Shelton

Abstract

In this paper we consider a new class of time series models generated by a second order autoregressive type operator with an index. Autocorrelation and spectral properties are discussed and some explicit results are derived for a restricted class in the family. The parameter estimation is discussed using the Whittle procedure. Some numerical results are presented to support the theoretical results.

Suggested Citation

  • Shitan, Mahendran & Peiris, Shelton, 2009. "On properties of the second order generalized autoregressive GAR(2) model with index," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 367-377.
    • Handle: RePEc:eee:matcom:v:80:y:2009:i:2:p:367-377
    DOI: 10.1016/j.matcom.2009.07.007
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    References listed on IDEAS

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    1. Gemai Chen & Bovas Abraham & Shelton Peiris, 1994. "Lag Window Estimation Of The Degree Of Differencing In Fractionally Integrated Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(5), pages 473-487, September.
    2. Henry L. Gray & Nien‐Fan Zhang & Wayne A. Woodward, 1989. "On Generalized Fractional Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 10(3), pages 233-257, May.
    3. C. W. J. Granger & Roselyne Joyeux, 1980. "An Introduction To Long‐Memory Time Series Models And Fractional Differencing," Journal of Time Series Analysis, Wiley Blackwell, vol. 1(1), pages 15-29, January.
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    Cited by:

    1. Federico Maddanu, 2023. "Forecasting highly persistent time series with bounded spectrum processes," Statistical Papers, Springer, vol. 64(1), pages 285-319, February.

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