Spektrum Gstar(1;1) (original) (raw)

Jurnal Matematika dan Sains, 2008

Abstract

In this paper we formulate the spectrum (spectral density matrix) of the stationary GSTAR(1;1) model by considering the model as VMA(∞). The spectrum can be obtained by following steps: represent the model as an VMA(∞) and convert the model to the backward operator form, then substitute the coefficient model to the spectrum of VMA(∞) model. The procedure of finding spectrum of GSTAR(1;1) which parameters are given, is illustrated by a two dimensional GSTAR(1;1) model.

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