A simulation study of the covariance and correlation properties of the Fractionally Integrated Separable Spatial Autoregressive (FISSAR) model
Spatial modelling has its applications in many fields. In time series, there exists a class of models known as long memory models, where the autocorrelation function decays rather slowly. These types of time series data are modelled as fractionally integrated ARMA processes. Spatial data may also ex...
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| Format: | Article |
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Scientific Advances Publishers
2009
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| Online Access: | http://psasir.upm.edu.my/id/eprint/12862/ |
| _version_ | 1848841951964561408 |
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| author | Shitan, Mahendran Teng, Mei Tuan |
| author_facet | Shitan, Mahendran Teng, Mei Tuan |
| author_sort | Shitan, Mahendran |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | Spatial modelling has its applications in many fields. In time series, there exists a class of models known as long memory models, where the autocorrelation function decays rather slowly. These types of time series data are modelled as fractionally integrated ARMA processes. Spatial data may also exhibit a long memory structure and in order to model such structure, a class of models called as the NFractionally Integrated Separable Spatial Autoregressive (FISSAR) Model has been introduced. The objectives of this research are to demonstrate on how to simulate a FISSAR (1, 1) process, to examine the properties of the variance
estimator and to illustrate the correlation properties. |
| first_indexed | 2025-11-15T07:51:24Z |
| format | Article |
| id | upm-12862 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-15T07:51:24Z |
| publishDate | 2009 |
| publisher | Scientific Advances Publishers |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-128622015-06-23T04:11:11Z http://psasir.upm.edu.my/id/eprint/12862/ A simulation study of the covariance and correlation properties of the Fractionally Integrated Separable Spatial Autoregressive (FISSAR) model Shitan, Mahendran Teng, Mei Tuan Spatial modelling has its applications in many fields. In time series, there exists a class of models known as long memory models, where the autocorrelation function decays rather slowly. These types of time series data are modelled as fractionally integrated ARMA processes. Spatial data may also exhibit a long memory structure and in order to model such structure, a class of models called as the NFractionally Integrated Separable Spatial Autoregressive (FISSAR) Model has been introduced. The objectives of this research are to demonstrate on how to simulate a FISSAR (1, 1) process, to examine the properties of the variance estimator and to illustrate the correlation properties. Scientific Advances Publishers 2009 Article PeerReviewed Shitan, Mahendran and Teng, Mei Tuan (2009) A simulation study of the covariance and correlation properties of the Fractionally Integrated Separable Spatial Autoregressive (FISSAR) model. Journal of Statistics: Advances in Theory and Applications, 2 (1 ). pp. 93-111. ISSN 0975-1262 |
| spellingShingle | Shitan, Mahendran Teng, Mei Tuan A simulation study of the covariance and correlation properties of the Fractionally Integrated Separable Spatial Autoregressive (FISSAR) model |
| title | A simulation study of the covariance and correlation properties of the Fractionally Integrated Separable Spatial Autoregressive (FISSAR) model |
| title_full | A simulation study of the covariance and correlation properties of the Fractionally Integrated Separable Spatial Autoregressive (FISSAR) model |
| title_fullStr | A simulation study of the covariance and correlation properties of the Fractionally Integrated Separable Spatial Autoregressive (FISSAR) model |
| title_full_unstemmed | A simulation study of the covariance and correlation properties of the Fractionally Integrated Separable Spatial Autoregressive (FISSAR) model |
| title_short | A simulation study of the covariance and correlation properties of the Fractionally Integrated Separable Spatial Autoregressive (FISSAR) model |
| title_sort | simulation study of the covariance and correlation properties of the fractionally integrated separable spatial autoregressive (fissar) model |
| url | http://psasir.upm.edu.my/id/eprint/12862/ |