Spatial autoregressive fractionally integrated moving average model

Abstract: In this paper, we introduce the concept of fractional integration for spatial autoregressive models. We show that the range of the dependence can be spatially extended or diminished by introducing a further fractional integration parameter to spatial autoregressive moving average models (SARMA). This new model is called the spatial autoregressive fractionally integrated moving average model, briefly sp-ARFIMA. We show the relation to time-series ARFIMA models and also to (higher-order) spatial autoregressive models. Moreover, an estimation procedure based on the maximum-likelihood principle is introduced and analysed in a series of simulation studies. Eventually, the use of the model is illustrated by an empirical example of atmospheric fine particles, so-called aerosol optical thickness, which is important in weather, climate and environmental science.