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Autocovariance function of the Fractionally Integrated Separable Spatial ARMA (FISSARMA) models


Ghodsi, Alireza and Shitan, Mahendran (2015) Autocovariance function of the Fractionally Integrated Separable Spatial ARMA (FISSARMA) models. Communications in Statistics: Theory and Methods, 44 (5). pp. 933-941. ISSN 0361-0926; ESSN: 1532-415X


Spatial modeling is important in many fields and there are various kinds of spatial models. One of such models is known as the fractionally integrated separable spatial ARMA (FISSARMA) model. In the area of time series analysis, Sowell (19927. Sowell, F. (1992). Maximum likelihood estimation of stationary univariate fractionally integrated time series models. J. Econ. 53:165–188.[CrossRef], [Web of Science ®]View all references) has established the autocovariance function of the long-memory models using hypergeometric function. In this paper we will extend Sowell’s work for FISSARMA models.

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Additional Metadata

Item Type: Article
Divisions: Institute for Mathematical Research
DOI Number: https://doi.org/10.1080/03610926.2012.755201
Publisher: Taylor & Francis
Keywords: Autocovariance function; FISSARMA models; Fractionally integrated models; Long-memory models; Spatial series; Time series
Depositing User: Mohd Hafiz Che Mahasan
Date Deposited: 27 Oct 2016 09:00
Last Modified: 27 Oct 2016 09:00
Altmetrics: http://www.altmetric.com/details.php?domain=psasir.upm.edu.my&doi=10.1080/03610926.2012.755201
URI: http://psasir.upm.edu.my/id/eprint/43897
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