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http://hdl.handle.net/20.500.12358/24191
Titleمعادلات محددة لدالة الارتباط الذاتي في حالة عدم تجانس تباينات الأخطاء العشوائية لنماذج الارتباط الذاتي من الرتبة الأولى
Title in Arabicمعادلات محددة لدالة الارتباط الذاتي في حالة عدم تجانس تباينات الأخطاء العشوائية لنماذج الارتباط الذاتي من الرتبة الأولى
Abstract

The autocorrelation function, ACF, is an important guide to the properties of a time series. We derive explicit equations for ACF in the presence of heteroscedasticity disturbances in first-order autoregressive, AR(1), models. We present two cases: (1) when the disturbance follows the general covariance matrix, , and (2) when the diagonal elements of are not all identical but j i , 0 ij = . In addition, we derive an equation to transform a model with heteroscedastic disturbances such that the model has homoscedastic disturbances. : . . : . .

Authors
Safi, Samir K.
TypeJournal Article
Date2009
Languageالعربية
Subjects
time series
autoregressive
covariance
disturbance
heteroscedasticity
homoscedasticity
autocorrelation
Published inIUG Journal for Natural and Engineering Studies
SeriesVolume: 17, Number: 2
Publisherالجامعة الإسلامية - غزة
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  • Staff Publications- Faculty of Economics and Administrative Sciences [298]
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The institutional repository of the Islamic University of Gaza was established as part of the ROMOR project that has been co-funded with support from the European Commission under the ERASMUS + European programme. This publication reflects the views only of the author, and the Commission cannot be held responsible for any use which may be made of the information contained therein.

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The institutional repository of the Islamic University of Gaza was established as part of the ROMOR project that has been co-funded with support from the European Commission under the ERASMUS + European programme. This publication reflects the views only of the author, and the Commission cannot be held responsible for any use which may be made of the information contained therein.

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