Arbeitspapier
Spatial autoregressive fractionally integrated moving average model
In this paper, we introduce the concept of fractional integration for spatial autoregressive models. We show that the range of the dependence can be spatially extended or diminished by introducing a further fractional integration parameter to spatial autoregressive moving average models (SARMA). This new model is called the spatial autoregressive fractionally integrated moving average model, briefly sp-ARFIMA. We show the relation to time-series ARFIMA models and also to (higher-order) spatial autoregressive models. Moreover, an estimation procedure based on the maximum-likelihood principle is introduced and analysed in a series of simulation studies. Eventually, the use of the model is illustrated by an empirical example of atmospheric fine particles, so-called aerosol optical thickness, which is important in weather, climate and environmental science.
- Language
-
Englisch
- Bibliographic citation
-
Series: Hannover Economic Papers (HEP) ; No. 712
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
- Subject
-
Spatial ARFIMA
spatial fractional integration
long-range dependence
aerosol optical depth
- Event
-
Geistige Schöpfung
- (who)
-
Otto, Philipp
Sibbertsen, Philipp
- Event
-
Veröffentlichung
- (who)
-
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (where)
-
Hannover
- (when)
-
2023
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Otto, Philipp
- Sibbertsen, Philipp
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Time of origin
- 2023
Other Objects (12)
Adaptive Online Learning for the Autoregressive Integrated Moving Average Models
Time frequency autoregressive moving average modeling
Known Moving-Average Transformations and Autoregressive Processes
Bootstrap for continuous-time autoregressive moving average processes
Network anomaly detection for railway critical infrastructure based on autoregressive fractional integrated moving average
Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term
Hybrid Fuzzy Auto-Regressive Integrated Moving Average (FARIMAH) Model for Forecasting the Foreign Exchange Markets
Estimation of Cointegrated Multivariate Continuous-Time Autoregressive Moving Average Processes
Persistence exponents via perturbation theory : autoregressive and moving average processes
A Novel Hybrid Autoregressive Integrated Moving Average and Artificial Neural Network Model for Cassava Export Forecasting
Analyzing the impact of a state concussion law using an autoregressive integrated moving average intervention analysis
Real-time forecasting of COVID-19 spread according to protective behavior and vaccination: autoregressive integrated moving average models
Adaptive Online Learning for the Autoregressive Integrated Moving Average Models
Time frequency autoregressive moving average modeling
Known Moving-Average Transformations and Autoregressive Processes
Bootstrap for continuous-time autoregressive moving average processes
Network anomaly detection for railway critical infrastructure based on autoregressive fractional integrated moving average
Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term
Hybrid Fuzzy Auto-Regressive Integrated Moving Average (FARIMAH) Model for Forecasting the Foreign Exchange Markets
Estimation of Cointegrated Multivariate Continuous-Time Autoregressive Moving Average Processes
Persistence exponents via perturbation theory : autoregressive and moving average processes
A Novel Hybrid Autoregressive Integrated Moving Average and Artificial Neural Network Model for Cassava Export Forecasting
Analyzing the impact of a state concussion law using an autoregressive integrated moving average intervention analysis
Real-time forecasting of COVID-19 spread according to protective behavior and vaccination: autoregressive integrated moving average models
Adaptive Online Learning for the Autoregressive Integrated Moving Average Models
Time frequency autoregressive moving average modeling
Known Moving-Average Transformations and Autoregressive Processes
Bootstrap for continuous-time autoregressive moving average processes
Network anomaly detection for railway critical infrastructure based on autoregressive fractional integrated moving average
Heteroskedasticity of unknown form in spatial autoregressive models with a moving average disturbance term
Hybrid Fuzzy Auto-Regressive Integrated Moving Average (FARIMAH) Model for Forecasting the Foreign Exchange Markets
Estimation of Cointegrated Multivariate Continuous-Time Autoregressive Moving Average Processes
Persistence exponents via perturbation theory : autoregressive and moving average processes
A Novel Hybrid Autoregressive Integrated Moving Average and Artificial Neural Network Model for Cassava Export Forecasting
Analyzing the impact of a state concussion law using an autoregressive integrated moving average intervention analysis