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

Rao, Tata Subba, Das, Sourav, and Boshnakov, Georgi N. (2014) A frequency domain approach for the estimation of parameters of spatio-temporal stationary random processes. Journal of Time Series Analysis, 35 (4). pp. 357-377.

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Abstract

A frequency domain methodology is proposed for estimating parameters of covariance functions of stationary spatio-temporal processes. Finite Fourier transforms of the processes are defined at each location. Based on the joint distribution of these complex valued random variables, an approximate likelihood function is constructed. The sampling properties of the estimators are investigated. It is observed that the expectation of these transforms can be considered to be a frequency domain analogue of the classical variogram. We call this measure frequency variogram. The method is applied to simulated data and also to Pacific wind speed data considered earlier by Cressie and Huang (1999). The proposed method does not depend on the distributional assumptions about the process.

Item ID: 59178
Item Type: Article (Research - C1)
ISSN: 1467-9892
Keywords: composite likelihood, discrete fourier transform, frequency variogram
Copyright Information: © 2014 Wiley Publishing Ltd.
Funders: British Council, Department of Science and Technology of India (DST)
Projects and Grants: UKIERI Research Grant, DST Grant no. SR/S4/516/07
Date Deposited: 08 Aug 2019 04:10
FoR Codes: 01 MATHEMATICAL SCIENCES > 0104 Statistics > 010405 Statistical Theory @ 100%
SEO Codes: 97 EXPANDING KNOWLEDGE > 970101 Expanding Knowledge in the Mathematical Sciences @ 100%
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