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Statistical properties of the seasonal fractionally integrated separable spatial autoregressive model

Author

Listed:
  • 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)

  • Abdou Kâ Diongue

    (LERSTAD - laboratoire d'Etudes et de recherches en Statistiques et Développement - UGB - Université Gaston Berger de Saint-Louis Sénégal)

  • Dominique Guegan

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

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.

Suggested Citation

  • Papa Ousmane Cissé & Abdou Kâ Diongue & Dominique Guegan, 2016. "Statistical properties of the seasonal fractionally integrated separable spatial autoregressive model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01397357, HAL.
    • Handle: RePEc:hal:cesptp:hal-01397357
    DOI: 10.16929/as/2016.901.82
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    Cited by:

    1. Papa Ousmane Cissé & Dominique Guegan & Abdou Kâ Diongue, 2018. "On the parameters estimation of the Seasonal FISSAR Model," Post-Print halshs-01832115, HAL.
    2. Robinson, Peter, 2019. "Spatial long memory," LSE Research Online Documents on Economics 102182, London School of Economics and Political Science, LSE Library.

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