Memory parameter estimation for long range dependent random fields

The GPH-estimator of spatial long memory parameter is investigated for stationary long memory (long range dependent) random fields observed over a regular lattice point set. Under some mild regularity assumptions, the weak consistency of the estimator is obtained. The finite sample performance of the estimator is discussed through a small simulation study.

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Year of publication:	2009
Authors:	Wang, Lihong
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 79.2009, 21, p. 2297-2306
Publisher:	Elsevier

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

Persistent link: https://www.econbiz.de/10008474351