Approximate Asymptotic Variance-Covariance Matrix for the Whittle Estimators of GAR(1) Parameters
Work
Year: 2013
Type: article
Abstract: Generalized Autoregressive (GAR) processes have been considered to model some features in time series. The Whittle's estimates have been investigated for the GAR(1) process by a simulation study by Sh... more
Authors Mahendran Shitan, Shelton Peiris
Institutions Universiti Putra Malaysia, The University of Sydney
Cites: 7
Cited by: 7
Related to: 10
FWCI: 0.988
Citation percentile (by year/subfield): 82.53
Subfield: Finance
Domain: Social Sciences
Open Access status: green