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Time series in m dimensions: Autoregressive models

 

作者: Vidya S. Taneja,   Leo A. Aroian,  

 

期刊: Communications in Statistics - Simulation and Computation  （Taylor Available online 1980）
卷期: Volume 9, issue 5  

页码: 491-513

 

ISSN:0361-0918

 

年代: 1980

 

DOI:10.1080/03610918008812170

 

出版商: Marcel Dekker, Inc.

 

关键词: stationarity;invertibility;spatial correlations;space-time correlations;relationships to moving averages;stationarity conditions;autocorrelation function;Yule-Walker equations;power spectra

 

数据来源: Taylor

 

摘要:

Spatially dependent autoregressive models in m dimensions are defined. The conditions for stationarity and invertibility are determined. The autocorrelation function and Yule-Walker equations are obtained for the general case, and as particular cases for special discrete values for various grids in plane and for orders 1 and 2 in time. The spectra are obtained for these particular cases, and some results for the partial autocorrelation function. All results are new. The notation, definitions, and assumptions are those given by Voss et al. (1980). We assume stationarity of

 

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