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

S. Sethuraman; I. V. Basawa

doi:10.1016/0378-3758(94)00046-X

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

S. Sethuraman, I. V. Basawa

Research output: Contribution to journal › Article › peer-review

6 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 language	English (US)
Pages (from-to)	219-235
Number of pages	17
Journal	Journal of Statistical Planning and Inference
Volume	44
Issue number	2
DOIs	https://doi.org/10.1016/0378-3758(94)00046-X
State	Published - Apr 1 1995
Externally published	Yes

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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10.1016/0378-3758(94)00046-X

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title = "Maximum likelihood estimation for a fractionally differenced autoregressive model on a two-dimensional lattice",

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.",

keywords = "62M05, 62M10, Asymptotic inference, Lattice processes, Long-memory dependence, Maximum likelihood estimation, Time series",

author = "S. Sethuraman and Basawa, {I. V.}",

note = "Funding Information: I.V. Basawa's work was partially supported by grants from the Office of Naw~l Research and from the National Science Foundation. We thank the referees for a careful reading and helpful suggestions. Copyright: Copyright 2014 Elsevier B.V., All rights reserved.",

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T1 - Maximum likelihood estimation for a fractionally differenced autoregressive model on a two-dimensional lattice

AU - Sethuraman, S.

AU - Basawa, I. V.

N1 - Funding Information: I.V. Basawa's work was partially supported by grants from the Office of Naw~l Research and from the National Science Foundation. We thank the referees for a careful reading and helpful suggestions. Copyright: Copyright 2014 Elsevier B.V., All rights reserved.

PY - 1995/4/1

Y1 - 1995/4/1

N2 - 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.

AB - 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.

KW - 62M05

KW - 62M10

KW - Asymptotic inference

KW - Lattice processes

KW - Long-memory dependence

KW - Maximum likelihood estimation

KW - Time series

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VL - 44

SP - 219

EP - 235

JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

IS - 2

ER -

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

Abstract

Keywords

ASJC Scopus subject areas

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