Asymptotic inference for a nearly unstable sequence of stationary spatial AR models

Baran, Sándor and Pap, Gyula and van Zuijlen, Martien C.A. (2004) Asymptotic inference for a nearly unstable sequence of stationary spatial AR models. Statistics and Probability Letters, 69 (1). pp. 53-61. ISSN 0167-7152

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Abstract

A nearly unstable sequence of stationary spatial autoregressive processes is investigated, where the autoregressive coefficients are equal, and their sum tends to one. It is shown that the limiting distribution of the least-squares estimator for this coefficient is normal and, in contrast to the doubly geometric process, the typical rate of convergence is n(-5/4).

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