Parameter estimation in a spatial unilateral unit root autoregressive model

DOI10.1016/J.JMVA.2012.01.022MaRDI QIDQ413780zbMATHOpenAlexFDO

Authors Sándor Baran, Gyula Pap

Publication date 7 May 2012

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1102.3318

zbMATH Keywords

spatial unilateral autoregressive processesunit root models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30) Non-Markovian processes: estimation (62M09)

Abstract: Spatial unilateral autoregressive model $$ is investigated in the unit root case, that is when the parameters are on the boundary of the domain of stability that forms a tetrahedron with vertices $(1,1,-1),(1,-1,1),(-1,1,1)$ and $(-1,-1,-1)$. It is shown that the limiting distribution of the least squares estimator of the parameters is normal and the rate of convergence is $n$ when the parameters are in the faces or on the edges of the tetrahedron, while on the vertices the rate is $n^{3/2}$.

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Cited in

(5)

• Asymptotic inference for unit roots in spatial triangular autoregression
• Testing stability in a spatial unilateral autoregressive model
• Asymptotic inference for near unit roots in spatial autoregression
• On the variances of a spatial unit root model
• \(M\)-estimation for a spatial unilateral autoregressive model with infinite variance innovations

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