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First-Order Fractionally Integrated Non-Separable Spatial Autoregressive (FINSSAR(1,1)) Model and Some of its Properties

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Title: First-Order Fractionally Integrated Non-Separable Spatial Autoregressive (FINSSAR(1,1)) Model and Some of its Properties

Authors: Alireza Ghodsi, Mahendran Shitan

Journal: Pakistan Journal of Statistics and Operation Research

HEC Recognition History
Category From To
Y 2020-07-01 2021-06-30

Publisher: Asiatic Region

Country: Pakistan

Year: 2013

Volume: 9

Issue: 1

Language: English

DOI: 10.18187/pjsor.v9i1.224

Keywords: Long memorySpatial autoregressive modelSeparableNon-separableFractional autoregressiveFISSAR modelRegression estimationWhittle's estimation

Categories
Mathematics (5170) Econometrics (4472) Time Series Analysis (330) Statistics (8857) Spatial Statistics (12)

Abstract

Spatial modelling has its applications in many fields. There exist in the literature a class of models known as the fractionally integrated separable spatial autoregressive (FISSAR) model. In this paper the objective of our research is to develop a non-separable counterpart of the FISSAR model. We term this model as the fractionally integrated non-separable spatial autoregressive (FINSSAR) model. The FINSSAR model is a more general model as it encompasses the FISSAR and the standard separable autoregressive (SSAR) models. The theoretical autocovariance function  and the spectral function of the model is obtained and some numerical results is presented. This model may be able to model many type of real phenomena.

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