Approximate Asymptotic Variance-Covariance Matrix for the Whittle Estimators of GAR(1) Parameters |
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| Authors: | Mahendran Shitan Shelton Peiris |
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| Affiliation: | 1. Department of Mathematics , University Putra Malaysia , Serdang , Malaysia;2. Laboratory of Computational Statistics &3. Operations Research, Institute for Mathematical Research , University Putra Malaysia , Serdang , Malaysia sarasmahen@gmail.com;5. School of Mathematics and Statistics , The University of Sydney , New South Wales , Australia |
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| 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 Shitan and Peiris (2008 Shitan , M. , Peiris , S. ( 2008 ). Generalised autoregressive (GAR) model: a comparison of maximum likelihood and whittle estimation procedures using a simulation study . Commun. Statist. Simul. Computat. 37 ( 3 ): 560 – 570 .[Taylor & Francis Online], [Web of Science ®] , [Google Scholar]). This article derives approximate theoretical expressions for the enteries of the asymptotic variance-covariance matrix for those estimates of GAR(1) parameters. These results are supported by a simulation study. |
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| Keywords: | Asymptotic Covariance Generalized Autoregression Spectral density Time series Variance Whittle's estimation |
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