Explicit expressions for the variogram of first--order intrinsic autoregressions

Details Explicit expressions for the variogram of first--order intrinsic autoregressions Explicit expressions for the variogram of first--order intrinsic autoregressions

2009-02-19

arxiv.org/abs/0902.3306v1

Mathematics

Statistics Theory

Submitted to the Electronic Journal of Statistics (http://www.i-journals.org/ejs/) by the Institute of Mathematical Statistics

Scientific paper

Exact and explicit expressions for the variogram of first--order intrinsic autoregressions have not been known. Various asymptotic expansions and approximations have been used to compute the variogram. In this note, an exact and explicit expression applicable for all parameter values is derived. The expression involves Appell's hypergeometric function of the fourth kind. Various particular cases of the expression are also derived.

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