On a Different way of Understanding the Edge-Effect for the Inference of ARMA-type Processes (in Z d ${\mathbb{Z}}^{d}$ )

Dimitriou-Fakalou Chrysoula ()
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Dimitriou-Fakalou Chrysoula: 6 Kastelorizou Street, Ano Voula Attikis, Athens 16673, Greece

Journal of Time Series Econometrics, 2022, vol. 14, issue 1, 25-50

Abstract: The edge-effect concerning the standard estimators’ bias for the parameters of multi-indexed ARMA-type series is a common hurdle; it is investigated whether an alternative ARMA parameterization might release any unwelcome complication. The theoretical blocks, of when the factorized model is free of the edge-effect, are provided and simulation results are used to reinforce the same views. Estimation or other perspectives are discussed in a conclusion.

Keywords: bias; edge-effect; factorization; linear-by-linear (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1515/jtse-2020-0012

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