A note on the existence and uniqueness of quasi-maximum likelihood estimators for mixed regressive, spatial autoregression models

DOI10.1016/J.SPL.2012.11.002MaRDI QIDQ1950666zbMATH OpenOpenAlexFDO

Authors Mengyuan Li, Dalei Yu, Peng Bai

Publication date 13 May 2013

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2012.11.002

zbMATH Keywords

existencemixed regressivequasi-likelihood functionquasi-maximum likelihood estimatorspatial autoregression modeluniqueness

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Directional data; spatial statistics (62H11) Estimation in multivariate analysis (62H12) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(4)

• Adjusted quasi-maximum likelihood estimator for mixed regressive, spatial autoregressive model and its small sample bias
• Adjusted QMLE for the spatial autoregressive parameter
• A note on the uniqueness of the quasi-likelihood estimator
• The asymptotic distribution of robust maximum likelihood estimator with Huber function for the mixed spatial autoregressive model with outliers

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