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

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.

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Year of publication:	2009
Authors:	Shitan, Mahendran ; Peiris, Shelton
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 80.2009, 2, p. 367-377
Publisher:	Elsevier
Subject:	Autoregression \| Autocorrelations \| Autocovariance \| Spectral density \| Estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010750063