Recursive Estimation of the Spatial Error Model

Chiara Ghiringhelli

doi:10.1111/gean.12317

Recursive Estimation of the Spatial Error Model

2022-01-03

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Chiara Ghiringhelli *

DOI：10.1111/gean.12317

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Abstract

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In this paper, we propose a recursive approach to estimate the spatial error model. We compare the suggested methodology with standard estimation procedures and we report a set of Monte Carlo experiments which show that the recursive approach substantially reduces the computational effort affecting the precision of the estimators within reasonable limits. The proposed technique can prove helpful when applied to real-time streams of geographical data that are becoming increasingly available in the big data era. Finally, we illustrate this methodology using a set of earthquake data.

Keywords:

MAXIMUM-LIKELIHOOD-ESTIMATION

AUTOREGRESSIVE MODELS

REGRESSION

Recursive Estimation of the Spatial Error Model

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