Testing stability in a spatial unilateral autoregressive model

DOI10.1080/03610926.2013.853792zbMATH Open1337.62192arXiv1203.4346OpenAlexW3106017548MaRDI QIDQ2807740FDOQ2807740

Kinga Sikolya, Sándor Baran, Gyula Pap

Publication date: 25 May 2016

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Abstract: Least squares estimator of the stability parameter $$ for a spatial unilateral autoregressive process $$ is investigated. Asymptotic normality with a scaling factor $n^{5/4}$ is shown in the unstable case, i.e., when $varrho=1$, in contrast to the AR(p) model $X_k=alph{a}_1{X}_{k-1}+\mathrm{...}+alph{a}_p{X}_{k-p}+varepsilo{n}_k$, where the least squares estimator of the stability parameter $varrho:=alph{a}_1+\mathrm{...}+alph{a}_p$ is not asymptotically normal in the unstable, i.e., in the unit root case.

Full work available at URL: https://arxiv.org/abs/1203.4346

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zbMATH Keywords

unit root testspatial unilateral autoregressive processunstable model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

Cites Work

• Title not available (Why is that?)
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• Parameter estimation in a spatial unilateral unit root autoregressive model
• On unit roots for spatial autoregressive models
• Asymptotic inference for unit roots in spatial triangular autoregression
• Asymptotic behavior of RA-estimates in autoregressive 2D processes
• Unilateral Gaussian fields

Cited In (1)

• Asymptotic inference for an unstable spatial AR model

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