GENERALIZED WHITTLE ESTIMATE FOR NONSTATIONARY SPATIAL DATA

Yasumasa Matsuda

No 305, TERG Discussion Papers from Graduate School of Economics and Management, Tohoku University

Abstract: This paper considers analysis of nonstationary irregularly spaced data that may have multivariate observations. The nonstationarity we focus on here means a local dependency of parameters that describe covariance structures. Nonparametric and parametric ways to estimate the local dependency of the parameters are proposed by an extension of traditional periodogram for stationary time series to that for nonstationary spatial data We introduce locally stationary processes for which consistency of the estimators are proved as well as demonstrate empirical efficiency of the methods by simulated and real examples.

Pages: 20 pages
Date: 2013-05
New Economics Papers: this item is included in nep-ecm, nep-eff, nep-geo and nep-ure
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