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,

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