In this paper we generalize the class of STARMA models to include contemporaneous spatial effects. Under the assumption of stationarity, invertibility and structural identifiability, we derive maximum likelihood estimators of the model coefficients by means of the Kalman filter recursions and the scoring algorithm, presenting some simulation results
The Generalised Space-time Autoregressive Moving Avarage Model / Guagnano, Giuseppina; Terzi, Silvia. - STAMPA. - 9:(1999).
The Generalised Space-time Autoregressive Moving Avarage Model
GUAGNANO, Giuseppina;TERZI, Silvia
1999
Abstract
In this paper we generalize the class of STARMA models to include contemporaneous spatial effects. Under the assumption of stationarity, invertibility and structural identifiability, we derive maximum likelihood estimators of the model coefficients by means of the Kalman filter recursions and the scoring algorithm, presenting some simulation resultsFile allegati a questo prodotto
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