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Asymptotic properties of the sign estimate of autoregression field coefficients

  • Stochastic Systems, Queueing Systems
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Abstract

For the process of order (1, 1) spatial autoregression, the consistency and asymptotic normality of the sign estimate were established. The relative asymptotic efficiency of the sign estimate relative to the least-squares estimate was calculated, and its behavior under various distributions of the renewing field was considered.

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Correspondence to V. B. Goryainov.

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Original Russian Text © V.B. Goryainov, E.R. Goryainova, 2015, published in Avtomatika i Telemekhanika, 2015, No. 3, pp. 62–78.

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Goryainov, V.B., Goryainova, E.R. Asymptotic properties of the sign estimate of autoregression field coefficients. Autom Remote Control 76, 419–432 (2015). https://doi.org/10.1134/S0005117915030066

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  • DOI: https://doi.org/10.1134/S0005117915030066

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