Statistical properties of the seasonal fractionally integrated separable spatial autoregressive model

Papa Ousmane Cissé (cisse.papaousmane@yahoo.fr), Abdou Ka Diongue and Dominique Guegan (dominique.guegan@univ-paris1.fr)
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Papa Ousmane Cissé: LERSTAD - laboratoire d'Etudes et de recherches en Statistiques et Développement - UGB - Université Gaston Berger de Saint-Louis Sénégal, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Dominique Guegan: CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this paper we introduce a new model called Fractionally Integrated Separable Spatial Autoregressive processes with Seasonality and denoted Seasonal FISSAR. We focus on the class of separable spatial models whose correlation structure can be expressed as a product of correlations. This new modelling allows taking into account the seasonality patterns observed in spatial data. We investigate the properties of this new model providing stationary conditions, some explicit form of the autocovariance function and the spectral density. We also establish the asymptotic behaviour of the spectral density function near the seasonal frequencies.

Keywords: Seasonality; Spatial short memory; Seasonal long memory; Two dimensional data; Separable process; Spatial stationary process; Spatial autocovariance (search for similar items in EconPapers)
Date: 2016-04
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Citations: View citations in EconPapers (4)

Published in Afrika Statistika, 2016, 11 (1), pp.901-922. ⟨10.16929/as/2016.901.82⟩

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Working Paper: Statistical properties of the seasonal fractionally integrated separable spatial autoregressive model (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:cesptp:hal-01397357

DOI: 10.16929/as/2016.901.82

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