A Frequency domain approach for the estimation of parameters of spatio-temporal stationary random processes

Subba Rao, Tata and Das, Sourav and Boshnakov, Georgi N. (2012) A Frequency domain approach for the estimation of parameters of spatio-temporal stationary random processes. [MIMS Preprint]

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Abstract

In this paper we consider the estimation of the parameters of the spatio-temporal covariances of spatio-temporal stationary random processes. We define Finite Fourier Transforms of the processes at each location and based on joint distribution of these complex valued random variables we define an approximate likelihood function and consider the maximization. Ideas are similar to Whittle likelihood function considered in time series. The sampling properties of the estimators are investigated. The method is applied to simulated data and also to pacific wind speed data considered earlier by Cressie and Huang.

Item Type: MIMS Preprint
Uncontrolled Keywords: spatio-temporal processes, Whittle likelihood, frequency domain estimation, variogram,
Subjects: MSC 2010, the AMS's Mathematics Subject Classification > 60 Probability theory and stochastic processes
MSC 2010, the AMS's Mathematics Subject Classification > 62 Statistics
Depositing User: Dr Georgi Boshnakov
Date Deposited: 16 Oct 2012
Last Modified: 08 Nov 2017 18:18
URI: http://eprints.maths.manchester.ac.uk/id/eprint/1879

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