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The bias of estimators of causal spatial autoregressive processes. (English) Zbl 0769.62065
Summary: We study the asymptotic distribution of Yule-Walker and least squares estimators for two-dimensional causal autoregressive processes observed on a rectangular part of a lattice. An explicit expression for the asymptotic bias of Yule-Walker estimators is obtained. It is shown that this bias disappears if we use the so-called unbiased sample autocovariance function or least squares estimators.

MSC:
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20 Asymptotic distribution theory in statistics
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