Citation
Ghodsi, Alireza and Shitan, Mahendran
(2009)
Estimation of the memory parameters of the fractionally integrated separable spatial autoregressive (FISSAR(1,1)) model : a simulation study.
Communications in Statistics: Simulation and Computation, 38 (6).
pp. 1256-1268.
ISSN 0361-0918; ESSN: 1532-4141
Abstract
In this article, we implement the regression method for estimating (d1,d2) of the FISSAR(1,1) model. It is also possible to estimate d1 and d2 by Whittle’s method. We also compute the estimated bias, standard error, and root mean square error by a simulation study. A comparison was made between the regression method of estimating d1 and d2 to that of the Whittle’s method. It was found in this simulation study that the regression method of estimation was better when compare with the Whittle’s estimator, in the sense that it had smaller root mean square errors (RMSE) values.
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Additional Metadata
| Item Type: | Article |
|---|---|
| Divisions: | Faculty of Science Institute for Mathematical Research |
| DOI Number: | https://doi.org/10.1080/03610910902898465 |
| Publisher: | Taylor & Francis |
| Keywords: | Autoregressive process; Fractional integration; FISSAR; Spatial model; Separable process; Whittle’s estimation. |
| Depositing User: | Najwani Amir Sariffudin |
| Date Deposited: | 05 Mar 2014 06:29 |
| Last Modified: | 27 Nov 2015 08:49 |
| Altmetrics: | http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1080/03610910902898465 |
| URI: | http://psasir.upm.edu.my/id/eprint/14574 |
| Statistic Details: | View Download Statistic |
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