On the validity of Akaike's identity for random fields

DOI10.1016/J.JECONOM.2020.04.044zbMath1471.62466OpenAlexW3080508400MaRDI QIDQ2024441

Marco Meyer, Carsten Jentsch

Publication date: 4 May 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2020.04.044

zbMATH Keywords

random fields\(L^2\)-projectionYule-Walker equationsfinite predictor coefficients

Mathematics Subject Classification ID

Random fields; image analysis (62M40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

A prediction perspective on the Wiener–Hopf equations for time series ⋮ Gaussian Approximation and Spatially Dependent Wild Bootstrap for High-Dimensional Spatial Data

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Prediction theory and Fourier series in several variables
• Gaussian maximum likelihood estimation for ARMA models. II: Spatial processes
• Modified Gaussian likelihood estimators for ARMA models on \(\mathbb Z^d\)
• Spatial statistics and modeling. Translated from the French by Kevin Bleakley.
• Consistent autoregressive spectral estimates
• Autoregressive spatial spectral estimates
• Some results on unilateral ARMA lattice processes
• Baxter's inequality and sieve bootstrap for random fields
• Modified Whittle estimation of multilateral models on a lattice
• Power spectrum estimation through autoregressive model fitting
• ON STATIONARY PROCESSES IN THE PLANE
• Computationally efficient restricted maximum likelihood estimation of generalized covariance functions

This page was built for publication: On the validity of Akaike's identity for random fields