Generalized Fractional Processes with Conditional Heteroscedasticity
Open Access
|Dec 2012Abstract
Generalized fractional processes in terms of Gegenbauer polynomials and GARCH (Generalized Autoregressive Conditional Heteroscedastic) errors is introduced and derived as a time series model. A related simulation study of the proposed model depicts statistical properties of the new class established in terms of the realization, sample autocorrelation function, the- oretical autocorrelation function, partial autocorrelation function and the spectral density function.
DOI: http://dx.doi.org/10.4038/sljastats.v12i0.4964
Sri Lankan Journal of Applied Statistics Vol.12 2011 pp.1-12
DOI: https://doi.org/10.4038/sljastats.v12i0.4964 | Journal eISSN: 2424-6271
Language: English
Page range: 1 - 12
Published on: Dec 2, 2012
Published by: The Institute of Applied Statistics, Sri Lanka
In partnership with: Paradigm Publishing Services
Keywords:
© 2012 Gnanadarsha Dissanayake, Shelton Peiris, published by The Institute of Applied Statistics, Sri Lanka
This work is licensed under the Creative Commons License.