On least squares estimation for long-memory lattice processes
| Type of Publication: | Journal article |
| Author: | Beran, Jan; Ghosh, Sucharita; Schell, Dieter |
| Year of publication: | 2009 |
| Published in: | Journal of Multivariate Analysis ; 100 (2009), 10. - pp. 2178-2194 |
| DOI (citable link): | https://dx.doi.org/10.1016/j.jmva.2009.04.007 |
| Summary: |
A flexible class of anisotropic stationary lattice processes with long memory can be defined in terms of a two-way fractional ARIMA (FARIMA) representation. We consider parameter estimation based on minimizing an approximate residual sum of squares. The method can be applied to sampling areas that are not necessarily rectangular. A central limit theorem is derived under general conditions. The method is illustrated by an analysis of satellite data consisting of total column ozone amounts in Europe and the Atlantic respectively.
|
| Subject (DDC): | 310 Statistics |
| Keywords: | Long memory, Fractional ARIMA process, Lattice process, Maximum likelihood estimation, Anisotropy |
| Bibliography of Konstanz: | Yes |
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BERAN, Jan, Sucharita GHOSH, Dieter SCHELL, 2009. On least squares estimation for long-memory lattice processes. In: Journal of Multivariate Analysis. 100(10), pp. 2178-2194. Available under: doi: 10.1016/j.jmva.2009.04.007
@article{Beran2009least-813, title={On least squares estimation for long-memory lattice processes}, year={2009}, doi={10.1016/j.jmva.2009.04.007}, number={10}, volume={100}, journal={Journal of Multivariate Analysis}, pages={2178--2194}, author={Beran, Jan and Ghosh, Sucharita and Schell, Dieter} }
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