Mohd. Sahar Yahya

Combined estimating function for random coefficient models with correlated errors

ABSTRACT Estimating functionshave been shown to be convenient to study inference for non linear time series models. Recently, Thavaneswaran et al. (2012) used combined estimating functions to study inference for random coefficient autoregressive (RCA) models with generalized autoregressive heteroscedasticity errors. While most RCA modeling assumes that the random term and the error are independent, Chandra and Taniguchi (2001) studied inference for RCA models with correlated errors using linear estimating functions. In this paper, we derive the quadratic estimating functions for the joint estimation of the conditional mean, variance, and correlation parameters of the RCA models with correlated errors.

Measures of kurtosis and skewness of INGARCH model

Recently there has been a growing interest in time series of counts/integer-valued time series. The time series under the hypothesis of homogeneous variance becomes unrealistic in many situations because the variance tend to change with level. Important models such as ACP (autoregressive conditional Poisson) models and integer valued GARCH models have been proposed in the literature. Ghahramani and Thavaneswaran [1] studied the moment properties of ACP models using martingale transformation. However the forecasting for count process has not been studied in the literature. Using a martingale transformation, Thavaneswaran et al. [2] studied the volatility forecasts for GARCH models. In this paper, first we derive closed form expressions for skewness and kurtosis for count processes via martingale transformation then we study the joint forecasts for integer-valued count models with errors following Poisson.

Evolutionary study of the Be star 28 Tau

We present an evolutionary study of 28 Tau, a Be star, in connection with its rapid rotation. The photometric data during the absence of its envelope in 1921 have been used to determine the effective temperature and luminosity of the star at the main sequence of the HR diagram. From an evolutionary model, we found that the mass and radius of the star are about 3.2 M ⊙ and 3.2 R ⊙ respectively. The equatorial rotation velocity of the star, ν e found to be close to its critical velocity, ν cr where ν e /ν cr ≃ 0.87.