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Memory parameter estimation for long range dependent random fields

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  • Wang, Lihong

Abstract

The GPH-estimator of spatial long memory parameter is investigated for stationary long memory (long range dependent) random fields observed over a regular lattice point set. Under some mild regularity assumptions, the weak consistency of the estimator is obtained. The finite sample performance of the estimator is discussed through a small simulation study.

Suggested Citation

  • Wang, Lihong, 2009. "Memory parameter estimation for long range dependent random fields," Statistics & Probability Letters, Elsevier, vol. 79(21), pages 2297-2306, November.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:21:p:2297-2306
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    References listed on IDEAS

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    1. Guo, Hongwen & Lim, Chae Young & Meerschaert, Mark M., 2009. "Local Whittle estimator for anisotropic random fields," Journal of Multivariate Analysis, Elsevier, vol. 100(5), pages 993-1028, May.
    2. Lin, Guangxing & Chen, Xi & Fu, Zuntao, 2007. "Temporal–spatial diversities of long-range correlation for relative humidity over China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(2), pages 585-594.
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