Parametric estimation for functional autoregressive processes on the sphere

DOI10.1090/TPMS/1165MaRDI QIDQ5080405zbMATH OpenOpenAlexWikidataFDO

Authors Alessia Caponera, Claudio Durastanti

Publication date 31 May 2022

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2107.08900

zbMATH Keywords

high frequency asymptoticsNLS estimatorparametric estimatesSPHAR(1) modelspherical harmonics

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Random fields (60G60) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics on manifolds (62R30)

Abstract: The aim of this paper is to define a nonlinear least squares estimator for the spectral parameters of a spherical autoregressive process of order 1 in a parametric setting. Furthermore, we investigate on its asymptotic properties, such as weak consistency and asymptotic normality.

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Cited in

(3)

• Lasso estimation for spherical autoregressive processes
• SPHARMA approximations for stationary functional time series on the sphere
• Asymptotics for spherical functional autoregressions

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