Spatial circular matrices, with applications

Grant Hillier () and Federico Martellosio ()
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Grant Hillier: Institute for Fiscal Studies and University of Southampton

No CWP06/10, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract:

The cumulants of the quadratic forms associated to the so-called spatial design matrices are often needed for inference in the context of isotropic processes on uniform grids. Unfortunately, because the eigenvalues of the matrices involved are generally unknown, the computation of the cumulants may be very demanding if the grids are large. This paper constructs circular counterparts, with known eigenvalues, to the spatial design matrices. It then studies some of their properties, and analyzes their performance in a number of applications.

Date: 2010-03-08
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