Memory parameter estimation for long range dependent random fields

被引：8

作者：

Wang, Lihong ^{[1
]}

机构：

[1] Nanjing Univ, Dept Math, Nanjing 210093, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2009年 / 79卷 / 21期

关键词：

SEMIPARAMETRIC ESTIMATION; TIME-SERIES;

D O I：

10.1016/j.spl.2009.07.030

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：2297 / 2306

页数：10

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