Asymptotic near-efficiency of the ``Gibbs-energy and empirical-variance estimating functions for fitting Matérn models. I: Densely sampled processes

DOI10.1016/j.spl.2015.12.021zbMath1419.62216OpenAlexW2196815476MaRDI QIDQ273730

Didier A. Girard

Publication date: 22 April 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.12.021

zbMATH Keywords

Gaussian processmaximum likelihoodARMAestimating functionsMatérn autocorrelation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Non-Markovian processes: estimation (62M09)

Related Items

Asymptotic near-efficiency of the ``Gibbs-energy (GE) and empirical-variance estimating functions for fitting Matérn models. - II: accounting for measurement errors via ``Conditional GE mean

Uses Software

• Wolfram Demonstrations

Cites Work

• Unnamed Item
• Unnamed Item
• Tail estimation of the spectral density for a stationary Gaussian random field
• Fixed-domain asymptotic properties of tapered maximum likelihood estimators
• Spatial statistics and modeling. Translated from the French by Kevin Bleakley.
• Interpolation of spatial data. Some theory for kriging
• On fixed-domain asymptotics and covariance tapering in Gaussian random field models
• Studies in the history of probability and statistics XLIX On the Matérn correlation family
• Statistical Methods for Stochastic Differential Equations
• Simple and Explicit Estimating Functions for a Discretely Observed Diffusion Process
• The role of the range parameter for estimation and prediction in geostatistics
• Inconsistent Estimation and Asymptotically Equal Interpolations in Model-Based Geostatistics