An introduction to vector Gegenbauer processes with long memory. Issue 1 (28th August 2018)

• Record Type: Journal Article
• Authors: Wu, Hao; Peiris, Shelton
• Is Part Of: Stat. Volume 7:Issue 1(2018)
• Page Start: n/a
• Page End: n/a
• Publication Date: 2018-08-28
• Subjects: autocorrelation -- conditional expectation -- estimation -- forecasting -- fractional differencing -- GARMA -- innovations -- long memory -- periodogram -- random -- regression -- second order solution -- spectrum -- vector GARMA models; Statistics -- Periodicals; 519.2
• DOI: 10.1002/sta4.197
• Languages: English
• ISSNs: 2049-1573

Abstract

Abstract : This paper introduces a flexible new class of time series models generated by the vector Gegenbauer autoregressive moving average structure. We establish existence and uniqueness of second order solutions under certain regularity conditions. Following a simulation study, we provide evidence that supports parsimonious properties of the model building and applications. © 2018 John Wiley & Sons, Ltd.