Estimation of the memory parameters of the fractionally integrated separable spatial autoregressive (FISSAR(1,1)) model : a simulation study.
In this article, we implement the regression method for estimating (d1,d2) of the FISSAR(1,1) model. It is also possible to estimate d1 and d2 by Whittle’s method. We also compute the estimated bias, standard error, and root mean square error by a simulation study. A comparison was made between the...
| Main Authors: | , |
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| Format: | Article |
| Language: | English English |
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Taylor & Francis
2009
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| Online Access: | http://psasir.upm.edu.my/id/eprint/14574/1/Estimation%20of%20the%20memory%20parameters%20of%20the%20fractionally%20integrated%20separable%20spatial%20autoregressive.pdf |
| _version_ | 1825945453987889152 |
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| author | Ghodsi, Alireza Shitan, Mahendran |
| author_facet | Ghodsi, Alireza Shitan, Mahendran |
| author_sort | Ghodsi, Alireza |
| collection | UPM |
| description | In this article, we implement the regression method for estimating (d1,d2) of the FISSAR(1,1) model. It is also possible to estimate d1 and d2 by Whittle’s method.
We also compute the estimated bias, standard error, and root mean square error by a simulation study. A comparison was made between the regression method of estimating
d1 and d2 to that of the Whittle’s method. It was found in this simulation study that the regression method of estimation was better when compare with the Whittle’s estimator, in the sense that it had smaller root mean square errors (RMSE) values. |
| first_indexed | 2024-03-06T07:31:46Z |
| format | Article |
| id | upm.eprints-14574 |
| institution | Universiti Putra Malaysia |
| language | English English |
| last_indexed | 2024-03-06T07:31:46Z |
| publishDate | 2009 |
| publisher | Taylor & Francis |
| record_format | dspace |
| spelling | upm.eprints-145742015-11-27T08:49:07Z http://psasir.upm.edu.my/id/eprint/14574/ Estimation of the memory parameters of the fractionally integrated separable spatial autoregressive (FISSAR(1,1)) model : a simulation study. Ghodsi, Alireza Shitan, Mahendran In this article, we implement the regression method for estimating (d1,d2) of the FISSAR(1,1) model. It is also possible to estimate d1 and d2 by Whittle’s method. We also compute the estimated bias, standard error, and root mean square error by a simulation study. A comparison was made between the regression method of estimating d1 and d2 to that of the Whittle’s method. It was found in this simulation study that the regression method of estimation was better when compare with the Whittle’s estimator, in the sense that it had smaller root mean square errors (RMSE) values. Taylor & Francis 2009 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/14574/1/Estimation%20of%20the%20memory%20parameters%20of%20the%20fractionally%20integrated%20separable%20spatial%20autoregressive.pdf Ghodsi, Alireza and Shitan, Mahendran (2009) Estimation of the memory parameters of the fractionally integrated separable spatial autoregressive (FISSAR(1,1)) model : a simulation study. Communications in Statistics: Simulation and Computation, 38 (6). pp. 1256-1268. ISSN 0361-0918; ESSN: 1532-4141 10.1080/03610910902898465 English |
| spellingShingle | Ghodsi, Alireza Shitan, Mahendran Estimation of the memory parameters of the fractionally integrated separable spatial autoregressive (FISSAR(1,1)) model : a simulation study. |
| title | Estimation of the memory parameters of the fractionally integrated separable spatial autoregressive (FISSAR(1,1)) model : a simulation study. |
| title_full | Estimation of the memory parameters of the fractionally integrated separable spatial autoregressive (FISSAR(1,1)) model : a simulation study. |
| title_fullStr | Estimation of the memory parameters of the fractionally integrated separable spatial autoregressive (FISSAR(1,1)) model : a simulation study. |
| title_full_unstemmed | Estimation of the memory parameters of the fractionally integrated separable spatial autoregressive (FISSAR(1,1)) model : a simulation study. |
| title_short | Estimation of the memory parameters of the fractionally integrated separable spatial autoregressive (FISSAR(1,1)) model : a simulation study. |
| title_sort | estimation of the memory parameters of the fractionally integrated separable spatial autoregressive fissar 1 1 model a simulation study |
| url | http://psasir.upm.edu.my/id/eprint/14574/1/Estimation%20of%20the%20memory%20parameters%20of%20the%20fractionally%20integrated%20separable%20spatial%20autoregressive.pdf |
| work_keys_str_mv | AT ghodsialireza estimationofthememoryparametersofthefractionallyintegratedseparablespatialautoregressivefissar11modelasimulationstudy AT shitanmahendran estimationofthememoryparametersofthefractionallyintegratedseparablespatialautoregressivefissar11modelasimulationstudy |