RETRACTED ARTICLE: Some properties of the generalized autoregressive moving average (GARMA(1, 2; δ, 1)) model

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.

Keywords:

• Autocorrelation
• autocovariance
• generalized ARMA model
• GAR
• GMA
• time series

Mathematics Subject Classification:

• 62M10

View retraction statement:

Retraction: Some Properties of the Generalised Autoregressive Moving Average (GARMA(1, 2; δ, 1)) Model