On the validity of Akaike's identity for random fields

DOI10.1016/J.JECONOM.2020.04.044MaRDI QIDQ2024441zbMATH OpenOpenAlexFDO

Authors Carsten Jentsch, Marco Meyer

Publication date 4 May 2021

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.04.044

zbMATH Keywords

\(L^2\)-projectionfinite predictor coefficientsrandom fieldsYule-Walker equations

Mathematics Subject Classification ID

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

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Cites work

• Autoregressive spatial spectral estimates
• Baxter's inequality and sieve bootstrap for random fields
• Computationally efficient restricted maximum likelihood estimation of generalized covariance functions
• Consistent autoregressive spectral estimates
• Foundations of time series analysis and prediction theory
• Gaussian maximum likelihood estimation for ARMA models. II: Spatial processes
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 783366 (Why is no real title available?)
• Modified Gaussian likelihood estimators for ARMA models on \(\mathbb Z^d\)
• Modified Whittle estimation of multilateral models on a lattice
• ON STATIONARY PROCESSES IN THE PLANE
• Power spectrum estimation through autoregressive model fitting
• Prediction theory and Fourier series in several variables
• Some results on unilateral ARMA lattice processes
• Spatial statistics and modeling. Translated from the French by Kevin Bleakley.

Cited in

(2)

• A prediction perspective on the Wiener–Hopf equations for time series
• Gaussian Approximation and Spatially Dependent Wild Bootstrap for High-Dimensional Spatial Data

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