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