Maximum likelihood estimation for a fractionally differenced autoregressive model on a two-dimensional lattice

DOI10.1016/0378-3758(94)00046-XzbMath0814.62055MaRDI QIDQ1347128

Samkara N. Sethuraman, Ishwar V. Basawa

Publication date: 18 June 1995

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimatorsshort-memorystationary autoregressive processlattice processesfractionally differenced autoregressive processlong- memory dependencetwo- dimensional martingale representationtwo-dimensional time series model

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) Non-Markovian processes: estimation (62M09)

Related Items (5)

The asymptotic distribution of the maximum likelihood estimator for a vector time series model with long memory dependence ⋮ Some results on unilateral ARMA lattice processes ⋮ Spatial long memory ⋮ Some Properties of the Normalized Periodogram of a Fractionally Integrated Separable Spatial ARMA (FISSARMA) Model ⋮ On least squares estimation for long-memory lattice processes

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