Maximum likelihood estimation of models for residual covariance in spatial regression

1984/01/01 by Kanti V. Mardia, K. V. MARDIA, R. J. MARSHALL +1 · 29 citations
Economics, Econometrics and Finance · Decision Sciences · #Spatial and Panel Data Analysis #Economic and Environmental Valuation #Efficiency Analysis Using DEA

paper · doi:10.1093/biomet/71.1.135

Abstract

We describe the maximum likelihood method for fitting the linear model when residuals are correlated and when the covariance among the residuals is determined by a parametric model containing unknown parameters. Observations are assumed to be Gaussian. We give conditions which ensure consistency and asymptotic normality of the estimators. Our main concern is with the analysis of spatial data and in this context we describe some simulation experiments to assess the small sample behaviour of estimators. We also discuss an application of the spectral approximation to the likelihood for processes on a lattice.

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