On properties of the second order generalized autoregressive GAR(2) model with index

Abstract

In this paper we consider a new class of time series models generated by a second order autoregressive type operator with an index. Autocorrelation and spectral properties are discussed and some explicit results are derived for a restricted class in the family. The parameter estimation is discussed using the Whittle procedure. Some numerical results are presented to support the theoretical results. © 2009 Elsevier B.V.