A note on the variance of generalized first order autoregressive processes with moving average errors

A note on the variance of generalized first order autoregressive processes with moving average errors

A new class of time series models known as Generalised Autore-gressive of order one with flrst order moving average errors has been introduced in order to reveal some hidden features of certain time se- ries data. A closed form of the variance of the process is derived. It is shown that in special c...

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Bibliographic Details
Main Author:	Shitan, Mahendran
Format:	Article
Published:	InterStat 2008

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