The Variance of Generalized First Order Autoregressive Processes with Moving Average Errors

by Mahendran Shitan .

Abstract: A new class of time series models known as Generalized Autoregressive of order one with first order moving average errors has been introduced in order to reveal some hidden features of certain time series data. The variance of the process is derived in order to study the behaviour of the process. It is shown that in special cases these new results reduce to the standard ARMA results.

Key Words: Autoregression, Moving Average, Errors, Autocorrelations, Variance, Autocovariance, Spectral density Estimation, Time Series, Fractional differencing, Long memory

Mahendran Shitan,

Editor: Shelton Peiris,

READING THE ARTICLE: You can read the article in portable document (.pdf) format (120594 bytes.)

NOTE: The content of this article is the intellectual property of the authors, who retains all rights to future publication.

This page has been accessed 1886 times since AGUST 13, 2008.

Return to the InterStat Home Page.