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Published Online: 23 May 2012

Least squares estimation of Generalized Space Time AutoRegressive (GSTAR) model and its properties

AIP Conference Proceedings 1450, 61 (2012); https://doi.org/10.1063/1.4724118
Budi Nurani Ruchjana
  • Department of Mathematics, Faculty of Mathematics and Natural Sciences, Indonesia
    • Svetlana A. Borovkova
  • Department of Finance, Faculty of Economics, Vrije Universiteit Amsterdam, De Boelelaan, Netherlands
    • H. P. Lopuhaa
  • Faculty of EEMCS, Delft Institute of Applied Mathematics, Delft University of, Netherlands
    • more...
    ABSTRACT
    In this paper we studied a least squares estimation parameters of the Generalized Space Time AutoRegressive (GSTAR) model and its properties, especially in consistency and asymptotic normality. We use R software to estimate the GSTAR parameter and apply the model toward real phenomena of data, such as an oil production data at volcanic layer.

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