Estimating Space and Space-Time Covariance Functions for Large Data Sets: A Weighted Composite Likelihood Approach

Moreno Bevilacqua, Carlo Gaetan, Jorge Mateu and Emilio Porcu

Journal of the American Statistical Association, 2012, vol. 107, issue 497, 268-280

Abstract: In this article, we propose two methods for estimating space and space-time covariance functions from a Gaussian random field, based on the composite likelihood idea. The first method relies on the maximization of a weighted version of the composite likelihood function, while the second one is based on the solution of a weighted composite score equation. This last scheme is quite general and could be applied to any kind of composite likelihood. An information criterion for model selection based on the first estimation method is also introduced. The methods are useful for practitioners looking for a good balance between computational complexity and statistical efficiency. The effectiveness of the methods is illustrated through examples, simulation experiments, and by analyzing a dataset on ozone measurements.

Date: 2012
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Citations: View citations in EconPapers (25)

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DOI: 10.1080/01621459.2011.646928

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