Memory parameter estimation for long range dependent random fields

Lihong Wang

Statistics & Probability Letters, 2009, vol. 79, issue 21, 2297-2306

Abstract: 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.

Date: 2009
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