On the variances of a spatial unit root model

DOI10.1007/S10986-011-9113-9MaRDI QIDQ647147zbMATHOpenAlexFDO

Authors Sándor Baran

Publication date 1 December 2011

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1006.5730

zbMATH Keywords

spatial autoregressive processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Abstract: The asymptotic properties of the variances of the spatial autoregressive model $$ are investigated in the unit root case, that is when the parameters are on the boundary of domain of stability that forms a tetrahedron in $[-1,1{]}^3$. The limit of the variance of $n^{-varrho}{X}_{[ns],[nt]}$ is determined, where on the interior of the faces of the domain of stability $varrho=1/4$, on the edges $varrho=1/2$, while on the vertices $varrho=1$.

Recommendations

• On unit roots for spatial autoregressive models
• Parameter estimation in a spatial unilateral unit root autoregressive model
• Publication:4872822
• Asymptotic inference for an unstable spatial AR model
• Asymptotic inference for unit roots in spatial triangular autoregression

Cites work

• scientific article; zbMATH DE number 3231213 (Why is no real title available?)
• A note on properties of spatial yule-walker estimators
• A subclass of lattice processes applied to a problem in planar sampling
• Asymptotic inference for an unstable spatial AR model
• Asymptotic inference for near unit roots in spatial autoregression
• Asymptotic inference for nearly nonstationary AR(1) processes
• Asymptotic inference for unit roots in spatial triangular autoregression
• Gauss-Newton estimation of parameters for a spatial autoregression model
• ON STATIONARY PROCESSES IN THE PLANE
• On the correlation structure of some two-dimensional stationary processes
• On unit roots for spatial autoregressive models
• Properties of the spatial unilateral first-order ARMA model
• Regression Models with Spatially Correlated Errors
• Statistical spatial series modelling
• Statistical spatial series modelling II: Some further results on unilateral lattice processes
• Towards a unified asymptotic theory for autoregression

Cited in

(4)

• Parameter estimation in a spatial unilateral unit root autoregressive model
• Asymptotic inference for unit roots in spatial triangular autoregression
• On unit roots for spatial autoregressive models
• Variance analysis of linear SIMO models with spatially correlated noise

This page was built for publication: On the variances of a spatial unit root model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q647147)