FOURIER ESTIMATION OF SPACE–TIME COVARIANCE

Sourav Das (University of Bristol)

Friday 18th March, 2016 15:00-16:00 Maths 522

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.

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