Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets

Arató, Mátyás and Pap, Gyula and van Zuijlen, Martien C. A. (2001) Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets. Computers and Mathematics with Applications, 42 (1-2). pp. 219-229. ISSN 0898-1221

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Abstract

The relationship between the discrete time nearly unit root doubly geometric spatial model and the continuous time Ornstein-Uhlenbeck random field is investigated. It turns out that the Ornstein-Uhlenbeck sheet can be considered as the continuous time counterpart of the doubly geometric model. However, it is shown that in contrast to the one-dimensional case and due to the orthogonality of the measures generated by the Ornstein-Uhlenbeck sheets with different parameters, this connection does not hold on the level of estimators.

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