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RETRACTED ARTICLE: Some properties of the generalized autoregressive moving average (GARMA(1, 2; δ, 1)) model

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  • Thulasyammal R. Pillai
  • Mahendran Shitan

Abstract

Recently, the GARMA(1, 2; δ, 1) time series model has been introduced in the literature. In this paper, the variance and autocovariance of the GARMA(1, 2; δ, 1) model are derived. Some numerical results are also provided. It appears from the simulation study that the HRA and WE estimation procedures are relatively good for GARMA(1, 2; δ,1) model. The GARMA(1, 2; δ, 1) model was also applied to model a real data set, namely Dow Jones Utility Index. We believe that this model would also be useful for modeling many other time series data.

Suggested Citation

  • Thulasyammal R. Pillai & Mahendran Shitan, 2023. "RETRACTED ARTICLE: Some properties of the generalized autoregressive moving average (GARMA(1, 2; δ, 1)) model," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 52(14), pages 1-1, July.
    • Handle: RePEc:taf:lstaxx:v:52:y:2023:i:14:p:i-xv
    DOI: 10.1080/03610926.2013.851240
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