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

Mahendran Shitan and Shelton Peiris

Mathematics and Computers in Simulation (MATCOM), 2009, vol. 80, issue 2, 367-377

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.

Keywords: Autoregression; Autocorrelations; Autocovariance; Spectral density; Estimation (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:80:y:2009:i:2:p:367-377

DOI: 10.1016/j.matcom.2009.07.007

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