期刊名称：Documents de Travail du Centre d'Economie de la Sorbonne
印刷版ISSN：1955-611X
出版年度：2018
出版社：Centre d'Economie de la Sorbonne
摘要：In this paper we discuss the methods of estimating the parameters of the Seasonal FISSAR (FractionallyIntegrated Separable Spatial Autoregressive with seasonality) model. First we implementthe regression method based on the log-periodogram and the classical Whittle method for estimatingmemory parameters. To estimate the model’s parameters simultaneously - innovationparameters and memory parameters- the maximum likelihood method, and the Whittle methodbased on the MCMC simulation are considered. We are investigated the consistency and theasymptotic normality of the estimators by simulation.
关键词：Seasonal FISSAR; long memory; regression method; Whittle method; MLE method
