




















Spatial unilateral autoregressive model $X_{k,\ell}=αX_{k-1,\ell}+βX_{k,\ell-1}+γX_{k-1,\ell-1}+ε_{k,\ell}$ is investigated in the unit root case, that is when the parameters are on the boundary of the domain of stability that forms a tetrahedron with vertices $(1,1,-1), \ (1,-1,1),\ (-1,1,1)$ and $(-1,-1,-1)$. It is shown that the limiting distribution of the least squares estimator of the parameters is normal and the rate of convergence is $n$ when the parameters are in the faces or on the edges of the tetrahedron, while on the vertices the rate is $n^{3/2}$.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。