Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets

✍ Scribed by M. Arató; G. Pap; M.C.A. van Zuijlen

• Book ID: 104352157
• Publisher: Elsevier Science
• Year: 2001
• Tongue: English
• Weight: 466 KB
• Volume: 42
• Category: Article
• ISSN: 0898-1221
• DOI: 10.1016/s0898-1221(01)00146-8

✦ Synopsis

The relationship between the discrete time nearly unit root doubly geometric spatial model and the continuous time Omstein-Uhlenbeck random field is investigated. It turns out that the Omstein-Uhlenbeck sheet can be considered as the continuous time counterpart of the doubly geometric model. However, it is shown that in contrast to the one-dimensional case and due to the orthogonality of the measures generated by the Omstein-Uhlenbeck sheets with different parameters, this connection does not hold on the level of estimators.