Estimation of causal CARMA random fields

Autor:	Klüppelberg, Claudia, Pham, Viet Son
Rok vydání:	2019
Předmět:	Mathematics - Statistics Theory 60G51 62F12 62M30 62M40
Druh dokumentu:	Working Paper
Popis:	We estimate model parameters of L\'evy-driven causal CARMA random fields by fitting the empirical variogram to the theoretical counterpart using a weighted least squares (WLS) approach. Subsequent to deriving asymptotic results for the variogram estimator, we show strong consistency and asymptotic normality of the parameter estimator. Furthermore, we conduct a simulation study to assess the quality of the WLS estimator for finite samples. For the simulation we utilize numerical approximation schemes based on truncation and discretization of stochastic integrals and we analyze the associated simulation errors in detail. Finally, we apply our results to real data of the cosmic microwave background. Comment: 30 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1902.04962 Zobrazit plný text záznamu View this record from Arxiv