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.
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页码：2297 / 2306
页数：10
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