Central limit theorems for long range dependent spatial linear processes

Lahiri, S.N. and Robinson, Peter M. (2016) Central limit theorems for long range dependent spatial linear processes. Bernoulli, 22 (1). pp. 345-375. ISSN 1350-7265

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Abstract

Central limit theorems are established for the sum, over a spatial region, of observations from a linear process on a d d-dimensional lattice. This region need not be rectangular, but can be irregularly-shaped. Separate results are established for the cases of positive strong dependence, short range dependence, and negative dependence. We provide approximations to asymptotic variances that reveal differential rates of convergence under the three types of dependence. Further, in contrast to the one dimensional (i.e., the time series) case, it is shown that the form of the asymptotic variance in dimensions d>1 d>1 critically depends on the geometry of the sampling region under positive strong dependence and under negative dependence and that there can be non-trivial edge-effects under negative dependence for d>1 d>1. Precise conditions for the presence of edge effects are also given.

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Article

Official URL:

http://projecteuclid.org/info/euclid.bj

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Library of Congress subject classification:

H Social Sciences > HB Economic Theory

Sets:

Departments > Economics

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