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Biometrika 1993 80(1):242-245; doi:10.1093/biomet/80.1.242
© 1993 by Biometrika Trust
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MISCELLANEA

The bias of estimators of causal spatial autoregressive processes

EUNHO HA and H. JOSEPH NEWTON

Department of Statistics, Texas A M University College Station, Texas 77843, U.S.A.

We study the asymptotic distribution of Yule-Walker and least squares estimators for twodimensional causal autoregressive processes observed on a rectangular part of a lattice. An explicit expression for the asymptotic bias of Yule-Walker estimators is obtained. It is shown that this bias disappears if we use the so-called unbiased sample autocovariance function or least squares estimators.

Key Words: Causal autoregressive process • least squares estimator • Yule-Walker estimator


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