Asymptotic properties of multivariate tapering for estimation and prediction
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Publication:290722
DOI10.1016/J.JMVA.2016.04.006zbMATH Open1341.62263DBLPjournals/ma/FurrerBD16arXiv1506.01833OpenAlexW1550262216WikidataQ57815866 ScholiaQ57815866MaRDI QIDQ290722FDOQ290722
François Bachoc, J. Du, Reinhard Furrer
Publication date: 3 June 2016
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Abstract: Parameter estimation for and prediction of spatially or spatio--temporally correlated random processes are used in many areas and often require the solution of a large linear system based on the covariance matrix of the observations. In recent years, the dataset sizes to which these methods are applied have steadily increased such that straightforward statistical tools are computationally too expensive to be used. In the univariate context, tapering, i.e., creating sparse approximate linear systems, has been shown to be an efficient tool in both the estimation and prediction settings. The asymptotic properties are derived under an infill asymptotic setting. In this paper we use a domain increasing framework for estimation and prediction using multivariate tapering. Under this asymptotic regime we prove that tapering (one-tapered form) preserves the consistency of the untapered maximum likelihood estimator and show that tapering has asymptotically the same mean squared prediction error as using the corresponding untapered predictor. The theoretical results are illustrated with simulations.
Full work available at URL: https://arxiv.org/abs/1506.01833
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Cited In (16)
- A multi-resolution approximation via linear projection for large spatial datasets
- A case study competition among methods for analyzing large spatial data
- Statistical estimation for stationary models with tapered data
- Asymptotic Analysis of Maximum Likelihood Estimation of Covariance Parameters for Gaussian Processes: An Introduction with Proofs
- Asymptotic properties of the maximum likelihood and cross validation estimators for transformed Gaussian processes
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- Modeling Temporally Evolving and Spatially Globally Dependent Data
- 30 years of space-time covariance functions
- Estimation and prediction using generalized Wendland covariance functions under fixed domain asymptotics
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