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

S. Sethuraman, I. V. Basawa

Research output: Contribution to journalArticle

5 Scopus citations

Abstract

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.

Original languageEnglish (US)
Pages (from-to)219-235
Number of pages17
JournalJournal of Statistical Planning and Inference
Volume44
Issue number2
DOIs
StatePublished - Apr 1 1995
Externally publishedYes

Keywords

  • 62M05
  • 62M10
  • Asymptotic inference
  • Lattice processes
  • Long-memory dependence
  • Maximum likelihood estimation
  • Time series

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty
  • Applied Mathematics

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