Performance of extrapolation based on Pitman's measure of closeness in spatial regression models with extended skew t innovations

Mohammad Mehdi Saber

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 2, 282-299

Abstract: Pitman's measure of closeness and mean square error of prediction are two well-known criteria for comparison between estimators and also between predictors. In a stationary first order multiplicative spatial autoregressive model, interpolation and extrapolation are compared based on these two criteria. A wide class of different innovation types are also studied containing Gaussian, exponential, asymmetric Laplace and extended skew t distributions.

Date: 2019
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DOI: 10.1080/03610926.2017.1408830

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