On a class of minimum contrast estimators for Gegenbauer random fields

Rosa Espejo (), Nikolai Leonenko (), Andriy Olenko () and María Ruiz-Medina ()

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2015, vol. 24, issue 4, 657-680

Abstract: The article introduces spatial long-range dependent models based on the fractional difference operators associated with the Gegenbauer polynomials. The results on consistency and asymptotic normality of a class of minimum contrast estimators of long-range dependence parameters of the models are obtained. A methodology to verify assumptions for consistency and asymptotic normality of minimum contrast estimators is developed. Numerical results are presented to confirm the theoretical findings. Copyright Sociedad de Estadística e Investigación Operativa 2015

Keywords: Gegenbauer random field; Long-range dependence; Minimum contrast estimator; Consistency; Asymptotic normality; 62F12; 62M30; 60G60; 60G15 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:testjl:v:24:y:2015:i:4:p:657-680

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DOI: 10.1007/s11749-015-0428-4

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