MAXIMUM-LIKELIHOOD-ESTIMATION FOR A FRACTIONALLY DIFFERENCED AUTOREGRESSIVE MODEL ON A 2-DIMENSIONAL LATTICE

被引：7

作者：

SETHURAMAN, S ^{[1
]}

BASAWA, IV ^{[1
]}

机构：

[1] UNIV GEORGIA,DEPT STAT,ATHENS,GA 30602

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 1995年 / 44卷 / 02期

基金：

美国国家科学基金会;

关键词：

TIME SERIES; LATTICE PROCESSES; LONG-MEMORY DEPENDENCE; MAXIMUM LIKELIHOOD ESTIMATION; ASYMPTOTIC INFERENCE;

D O I：

10.1016/0378-3758(94)00046-X

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A two-dimensional time series model with long-memory dependence is introduced. The model is based on a fractionally differenced autoregressive process (long-memory) combined with a standard pth order stationary autoregressive process (short-memory). The maximum likelihood estimators for the parameters in the model are derived and their asymptotic distributions are obtained. A novel feature of the derivations is that a new two-dimensional martingale representation is used.

引用

页码：219 / 235

页数：17

共 20 条

[1] REPEATED MEASUREMENTS ON AUTOREGRESSIVE PROCESSES [J].