On the parameters estimation of the Seasonal FISSAR Model - HAL-SHS - Sciences de l'Homme et de la Société
Autre Publication Scientifique Année : 2018

On the parameters estimation of the Seasonal FISSAR Model

Résumé

In this paper, we discuss the methods of estimating the parameters of the Seasonal FISSAR (Fractionally Integrated Separable Spatial Autoregressive with seasonality) model. First we implement the regression method based on the log-periodogram and the classical Whittle method for estimating memory parameters. To estimate the model's parameters simultaneously - innovation parameters and memory parameters- the maximum likelihood method, and the Whittle method based on the MCMC simulation are considered. We are investigated the consistency and the asymptotic normality of the estimators by simulation.
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Dates et versions

halshs-01832115 , version 1 (06-07-2018)

Identifiants

  • HAL Id : halshs-01832115 , version 1

Citer

Papa Ousmane Cissé, Dominique Guegan, Abdou Kâ Diongue. On the parameters estimation of the Seasonal FISSAR Model. 2018. ⟨halshs-01832115⟩
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