Estimating Space and Space-Time Covariance Functions for Large Data Sets: A Weighted Composite Likelihood Approach
comunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/43662
comunitat-uji-handle3:10234/43643
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INVESTIGACIONMetadata
Title
Estimating Space and Space-Time Covariance Functions for Large Data Sets: A Weighted Composite Likelihood ApproachDate
2012Publisher
American Statistical AssociationISSN
0162-1459Bibliographic citation
BEVILACQUA, Moreno, et al. Estimating space and space-time covariance functions for large data sets: a weighted composite likelihood approach. Journal of the American Statistical Association, 2012, vol. 107, no 497, p. 268-280Type
info:eu-repo/semantics/articleVersion
info:eu-repo/semantics/submittedVersionSubject
Abstract
In the last years there has been a growing interest in the construction space-time covariance functions. However, effective estimation methods for these models are some- how unexplored. In this paper we propose a ... [+]
In the last years there has been a growing interest in the construction space-time covariance functions. However, effective estimation methods for these models are some- how unexplored. In this paper we propose a composite likelihood approach and a weighted variant for the space-time estimation problem.
The proposed method can be a valid compromise between the computational bur- dens, induced by the use of a maximum likelihood approach, and the loss of efficiency induced by using a weighted least squares procedure. An identification criterion based on the composite likelihood is also introduced. The effectiveness of the proposed pro- cedure is illustrated through an extensive simulation experiment, and by reanalising a data set on Irish wind speeds (Haslett and Raftery, 1989). We also address an im- portant issue, which has been recently explored in the literature, on how to select an appropriate space-time model by accounting for the tradeoff between goodness-of-fit and model complexity. [-]
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Journal of the American Statistical Association, 107, 497Rights
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info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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