文章基本信息

标题：First-Order Fractionally Integrated Non-Separable Spatial Autoregressive (FINSSAR(1,1)) Model and Some of its Properties
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作者：Alireza Ghodsi ; Mahendran Shitan
期刊名称：Pakistan Journal of Statistics and Operation Research
印刷版ISSN：2220-5810
出版年度：2013
卷号：9
期号：1
页码：1-16
DOI：10.1234/pjsor.v9i1.224
语种：English
出版社：College of Statistical and Actuarial Sciences
摘要：Spatial modelling has its applications in many fields. There exist in the literature a class of models known as the fractionally integrated separable spatial autoregressive (FISSAR) model. In this paper the objective of our research is to develop a non-separable counterpart of the FISSAR model. We term this model as the fractionally integrated non-separable spatial autoregressive (FINSSAR) model. The FINSSAR model is a more general model as it encompasses the FISSAR and the standard separable autoregressive (SSAR) models. The theoretical autocovariance function and the spectral function of the model is obtained and some numerical results is presented. This model may be able to model many type of real phenomena.
关键词：Spatial autoregressive model, Separable, Non-separable, Long memory, Fractional autoregressive, FISSAR model, Regression estimation, Whittle's estimation