Local Whittle estimator for anisotropic random fields

A local Whittle estimator is developed to simultaneously estimate the long memory parameters for stationary anisotropic scalar random fields. It is shown that these estimators are consistent and asymptotically normal, under some weak technical conditions. A brief simulation study illustrates a practical application of the estimator.

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Year of publication:	2009
Authors:	Guo, Hongwen ; Lim, Chae Young ; Meerschaert, Mark M.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 100.2009, 5, p. 993-1028
Publisher:	Elsevier
Subject:	primary \| 62G07 secondary \| 62M10 Spatial long memory Local Whittle method

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005153032