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2006.37: Recursive estimation and order determination of space-time autoregressive processes

2006.37: Ana Monica C. Antunes, Barry, G Quinn and T Subba Rao (2006) Recursive estimation and order determination of space-time autoregressive processes.

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Abstract

Space-time autoregressive moving average models may be used for time series measured at the same times in a number of locations. In this paper we propose a recursive algorithm for estimating space-time autoregressive (AR) models. We also propose an information criterion for estimating the model order, and prove its strong consistency. The methods are illustrated using both simulated and real data. The real data corresponds to hourly carbon monoxide (CO) concentrations recorded in September 1995 at four different locations in Venice.

Item Type:MIMS Preprint
Uncontrolled Keywords:AIC, asymptotic normality, BIC, consistency, law of the iterated logarithm, order selection, recursive estimation, space-time AR process, Yule-Walker equations.
Subjects:MSC 2000 > 62 Statistics
MIMS number:2006.37
Deposited By:Dr Peter Neal
Deposited On:21 March 2006

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