Citation
Shitan, Mahendran and Teng, Mei Tuan
(2009)
A simulation study of the covariance and correlation properties of the Fractionally Integrated Separable Spatial Autoregressive (FISSAR) model.
Journal of Statistics: Advances in Theory and Applications, 2 (1 ).
pp. 93-111.
ISSN 0975-1262
Abstract
Spatial modelling has its applications in many fields. In time series, there exists a class of models known as long memory models, where the autocorrelation function decays rather slowly. These types of time series data are modelled as fractionally integrated ARMA processes. Spatial data may also exhibit a long memory structure and in order to model such structure, a class of models called as the NFractionally Integrated Separable Spatial Autoregressive (FISSAR) Model has been introduced. The objectives of this research are to demonstrate on how to simulate a FISSAR (1, 1) process, to examine the properties of the variance estimator and to illustrate the correlation properties.
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Science Institute for Mathematical Research |
| Publisher: | Scientific Advances Publishers |
| Keywords: | Fractionally integrated process; Autoregressive process; Separable models; Spatial model; Variance; Covariance; Correlation |
| Depositing User: | Nurul Ainie Mokhtar |
| Date Deposited: | 23 Jun 2015 04:11 |
| Last Modified: | 23 Jun 2015 04:11 |
| URI: | http://psasir.upm.edu.my/id/eprint/12862 |
| Statistic Details: | View Download Statistic |
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