Physical Sciences and Mathematics Commons^™

Generalized Moving Average Models And Applications In High Frequency Data, Shelton Peiris, David E. Allen, Aerambamoorthy Thavaneswaran

Research outputs pre 2011

This paper considers a new class of first order moving average type time series model with index δ (> 0) to describe some hidden features of a time series. It is shown that this class of models provides a valid, simple solution to a new direction of time series modelling. In particular, for suitably chosen parameters (coefficient β and index δ) this type of models could be used to describe data with low or high frequency components. Various new results associated with this class are given in a general form. A simulation study is carried out to justify the theory. …