Parameter estimates for fractional autoregressive spatial processes

By Y. Boissy, B. B. Bhattacharyya, X. Li, G. Richardson. 2005

48 citations recorded by the source corpus.

A binomial-type operator on a stationary Gaussian process is introduced in order to model long memory in the spatial context. Consistent estimators of model parameters are demonstrated. In particular, it is shown that d N - d = O P ((Log N) 3 /N ), where d = (d 1 , d 2 ) denotes the long memory parameter.

Subfields: Finance, Modeling and Simulation, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/24222d3b8500418d60d20d6e476fb0b2010b3a60