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Document type:
Zeitungsartikel 
Author(s):
Klüppelberg, C. and Pham, V.S. 
Title:
Estimation of causal CARMA random fields 
Abstract:
We estimate model parameters of Lévy-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 sche...    »
 
Keywords:
asymptotic normality, CARMA, consistency, identifiability, Lévy basis, parameter estimation, random fields, variogram fitting, weighted least squares 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Preprint 
Year:
2019 
WWW:
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Status:
Preprint / submitted 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text