Aggregation of isotropic autoregressive fields

DOI10.1016/J.JSPI.2011.06.003MaRDI QIDQ719483zbMATH OpenOpenAlexFDO

Authors Frédéric Lavancier

Publication date 10 October 2011

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.2674

zbMATH Keywords

aggregationrandom fieldslong memorylong range dependence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Random fields; image analysis (62M40) Inference from stochastic processes and spectral analysis (62M15)

Abstract: This note constitutes a corrigendum to the article of Azomahou, JSPI, 139:2581-2597. The aggregation of isotropic four nearest neighbors autoregressive models on the lattice, with random coefficient, is investigated. The spectral density of the resulting random field is studied in details for a large class of law of the AR coefficient. Depending on this law, the aggregated field may exhibit short memory or isotropic long memory.

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Cited in

(5)

• On stationarity and second-order properties of bilinear random fields
• Operator-scaling Gaussian random fields via aggregation
• Spatial long memory
• Aggregation of autoregressive random fields and anisotropic long-range dependence
• Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes

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