A note on self-normalization for a simple spatial autoregressive model

In this paper, we consider the problem of self-normalization for one rather simple autoregressive model X _t,s = aX _t−1,s + bX _t,s−1 + ɛ _t,s on a two-dimensional lattice. We show that there is some similarity between this problem and the corresponding problem for AR(1) time series model. The research was supported by the bilateral France-Lithuania scientific project Gilibert. Published in Lietuvos Matematikos Rinkinys, Vol. 47, No. 2, pp. 220–233, April–June, 2007.