Inference for Spatial Time Series

I. V. Basawa, P. J. Brockwell and V. Mandrekar
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I. V. Basawa: University of Georgia, Department of Statistics
P. J. Brockwell: Colorado State University, Department of Statistics
V. Mandrekar: Michigan State University, Department of Probability and Statistics

A chapter in Computing Science and Statistics, 1992, pp 301-302 from Springer

Abstract: Abstract A class of product (or separable) ARMA processes defined on a k-dimensional lattice is considered. It is shown how the study of these k-dimensional processes can be reduced to the study of k one-dimensional ARMA processes. From observations of the process, this allows us to calculate the exact Gaussian likelihood function and the asymptotic distribution of the maximum likelihood estimators of the model coefficients.

Keywords: Maximum Likelihood Estimator; Time Series Model; ARMA Model; Asymptotic Covariance Matrix; ARMA Process (search for similar items in EconPapers)
Date: 1992
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-2856-1_40

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DOI: 10.1007/978-1-4612-2856-1_40

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