Estimation of spatial AR models (Q1314949)

The author studies parameter estimation of spatial AR models whose innovations satisfy some two-parameter martingale difference condition . The results are mostly improvements of earlier work by the same author [see Chin. Ann. Math., Ser. B 12, No. 4, 432-444 (1991; Zbl 0764.62075)]. In the first section of the present paper, the conditions on the innovation process are weakened by introducing a smaller \(\sigma\)-field of past events. The second part improves weak consistency theorems of order estimation procedures to strong consistency . Also a law of the iterated logarithm for parameter estimates is given.