On the variances of a spatial unit root model

DOI10.1007/S10986-011-9113-9zbMATH Open1227.62064arXiv1006.5730OpenAlexW3102257332MaRDI QIDQ647147FDOQ647147

Authors: Sándor Baran 

Publication date: 1 December 2011

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Abstract: The asymptotic properties of the variances of the spatial autoregressive model $$ are investigated in the unit root case, that is when the parameters are on the boundary of domain of stability that forms a tetrahedron in $[-1,1{]}^3$. The limit of the variance of $n^{-varrho}{X}_{[ns],[nt]}$ is determined, where on the interior of the faces of the domain of stability $varrho=1/4$, on the edges $varrho=1/2$, while on the vertices $varrho=1$.

Full work available at URL: https://arxiv.org/abs/1006.5730

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zbMATH Keywords

spatial autoregressive processes

Mathematics Subject Classification ID

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

Cites Work

• ON STATIONARY PROCESSES IN THE PLANE
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• Asymptotic inference for near unit roots in spatial autoregression
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• A subclass of lattice processes applied to a problem in planar sampling
• A note on properties of spatial yule-walker estimators
• On unit roots for spatial autoregressive models
• Asymptotic inference for unit roots in spatial triangular autoregression

Cited In (4)

• 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
• Variance analysis of linear SIMO models with spatially correlated noise

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