On a Different way of Understanding the Edge-Effect for the Inference of ARMA-type Processes (in Z d ${\mathbb{Z}}^{d}$ )-Reference-Cited by-同舟云学术

On a Different way of Understanding the Edge-Effect for the Inference of ARMA-type Processes (in Z d ${\mathbb{Z}}^{d}$ )

Published:2021-05-18 Issue:1 Volume:14 Page:25-50
ISSN:1941-1928
Container-title:Journal of Time Series Econometrics
language:en
Short-container-title:

Author:

Dimitriou-Fakalou Chrysoula¹^ORCID

Affiliation:

1. 6 Kastelorizou Street , Ano Voula Attikis , Athens 16673 , Greece

Abstract

Abstract The edge-effect concerning the standard estimators’ bias for the parameters of multi-indexed ARMA-type series is a common hurdle; it is investigated whether an alternative ARMA parameterization might release any unwelcome complication. The theoretical blocks, of when the factorized model is free of the edge-effect, are provided and simulation results are used to reinforce the same views. Estimation or other perspectives are discussed in a conclusion.

Publisher

Walter de Gruyter GmbH

Subject

Economics and Econometrics

Link

https://www.degruyter.com/document/doi/10.1515/jtse-2020-0012/pdf

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