FIXED-DOMAIN ASYMPTOTIC PROPERTIES OF TAPERED MAXIMUM LIKELIHOOD ESTIMATORS
FIXED-DOMAIN ASYMPTOTIC PROPERTIES OF TAPERED MAXIMUM LIKELIHOOD ESTIMATORS
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DOI：
10.1214/08-aos676
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发表时间：
2009-12-01
影响因子：
4.5
通讯作者：
Mandrekar, V. S.
中科院分区：
文献类型：
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作者：
Du, Juan;Zhang, Hao;Mandrekar, V. S.
当空间样本量非常大时，这发生在许多环境和生态研究中，对大协方差矩阵的操作是一个数值挑战。协方差渐减是一种减轻数值挑战的技术。假设数据是沿有界区域内的沿着直线采集的，通过建立精确极大似然估计和锥形极大似然估计的固定域渐近分布，研究了锥形对Matern协方差函数中微遍历参数极大似然估计的渐近效率的影响.我们的结果意味着，在一定条件下的锥度，锥形MLE是渐近有效的真正的MLE的微遍历参数的Matern模型。
When the spatial sample size is extremely large, which occurs in many environmental and ecological studies, operations on the large covariance matrix are a numerical challenge. Covariance tapering is a technique to alleviate the numerical challenges. Under the assumption that data are collected along a line in a bounded region, we investigate how the tapering affects the asymptotic efficiency of the maximum likelihood estimator (MLE) for the microergodic parameter in the Matern covariance function by establishing the fixed-domain asymptotic distribution of the exact MLE and that of the tapered MLE. Our results imply that, under some conditions on the taper, the tapered MLE is asymptotically as efficient as the true MLE for the microergodic parameter in the Matern model.