On the least squares estimator in a nearly unstable sequence of stationary spatial AR models

Details On the least squares estimator in a nearly unstable sequence of stationary spatial AR models On the least squares estimator in a nearly unstable sequence of stationary spatial AR models

2008-03-17

arxiv.org/abs/0803.2486v1

Mathematics

Statistics Theory

26 pages To appear in: J. Multivariate Anal

Scientific paper

A nearly unstable sequence of stationary spatial autoregressive processes is investigated, when the sum of the absolute values of the autoregressive coefficients tends to one. It is shown that after an appropriate norming the least squares estimator for these coefficients has a normal limit distribution. If none of the parameters equals zero than the typical rate of convergence is n.

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