Parameter estimation in linear regression driven by a Wiener sheet

MaRDI QIDQ4898712zbMATH OpenFDO

Authors Kinga Sikolya, Sándor Baran

Publication date 2 January 2013

Full work available at URL https://arxiv.org/abs/1111.2205, http://ami.ektf.hu/uploads/papers/finalpdf/AMI_39_from3to15.pdf

zbMATH Keywords

maximum likelihood estimationRadon-Nikodym derivativeWiener sheet

Mathematics Subject Classification ID

Random fields (60G60) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from spatial processes (62M30)

Abstract: The problem of estimating the parameters of a linear regression model $Z(s,t)=m_1{g}_1(s,t)+cdots+m_p{g}_p(s,t)+U(s,t)$ based on observations of $Z$ on a spatial domain $G$ of special shape is considered, where the driving process $U$ is a Gaussian random field and $g_1,ldots,g_p$ are known functions. Explicit forms of the maximum likelihood estimators of the parameters are derived in the cases when $U$ is either a Wiener or a stationary or nonstationary Ornstein-Uhlenbeck sheet. Simulation results are also presented, where the driving random sheets are simulated with the help of their Karhunen-Lo`eve expansions.

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Cited in

(2)

• Estimation of the mean of a Wiener sheet
• Parameter estimation of a shifted Wiener sheet

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