M-estimation for a spatial unilateral autoregressive model with infinite variance innovations

DOI10.1017/S0266466609990752zbMATH Open1230.62121MaRDI QIDQ2995418FDOQ2995418

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Publication date: 21 April 2011

Published in: Econometric Theory (Search for Journal in Brave)

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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)

Cites Work

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Cited In (11)

• Strictly stationary solutions of spatial ARMA equations
• NONPARAMETRIC PREDICTION WITH SPATIAL DATA
• Inference for spatial autoregressive models with infinite variance noises
• M-estimation for general ARMA processes with infinite variance
• M-estimates of the spatial autoregression coefficients
• M-estimation for near unit roots in spatial autoregression with infinite variance
• MULTIVARIATE AUTOREGRESSION OF ORDER ONE WITH INFINITE VARIANCE INNOVATIONS
• M-estimation for autoregression with infinite variance
• The stationary regions for the parameter space of unilateral second-order spatial AR model
• Autoregressive spatial spectral estimates
• Generalized M-estimates of the autoregression field coefficients

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