Inference on power law spatial trends

DOI10.3150/10-BEJ349zbMATH Open1238.62106arXiv1205.2508MaRDI QIDQ418245FDOQ418245

Authors: Peter M. Robinson 

Publication date: 28 May 2012

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Power law or generalized polynomial regressions with unknown real-valued exponents and coefficients, and weakly dependent errors, are considered for observations over time, space or space--time. Consistency and asymptotic normality of nonlinear least-squares estimates of the parameters are established. The joint limit distribution is singular, but can be used as a basis for inference on either exponents or coefficients. We discuss issues of implementation, efficiency, potential for improved estimation and possibilities of extension to more general or alternative trending models to allow for irregularly spaced data or heteroscedastic errors; though it focusses on a particular model to fix ideas, the paper can be viewed as offering machinery useful in developing inference for a variety of models in which power law trends are a component. Indeed, the paper also makes a contribution that is potentially relevant to many other statistical models: Our problem is one of many in which consistency of a vector of parameter estimates (which converge at different rates) cannot be established by the usual techniques for coping with implicitly-defined extremum estimates, but requires a more delicate treatment; we present a generic consistency result.

Full work available at URL: https://arxiv.org/abs/1205.2508

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zbMATH Keywords

latticetablesasymptotic normalitycorrelationconsistencygeneralized polynomials

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cited In (9)

• Truncated sum of squares estimation of fractional time series models with deterministic trends
• Truncated sum-of-squares estimation of fractional time series models with generalized power law trend
• Inference on a semiparametric model with global power law and local nonparametric trends
• Inference on nonstationary time series with moving mean
• Varying-Coefficient Panel Data Models With Nonstationarity and Partially Observed Factor Structure
• Estimation of a nonparametric model for bond prices from cross-section and time series information
• The distance-decay function of geographical gravity model: power law or exponential law?
• Spatial long memory
• Specification tests for lattice processes

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