MULTIVARIATE CARMA RANDOM FIELDS

Yasumasa Matsuda and Xin Yuan

No 113, DSSR Discussion Papers from Graduate School of Economics and Management, Tohoku University

Abstract: This paper conducts a multivariate extension of isotropic Levy- driven CARMA random fileds on Rd proposed by Brockwell and Matsuda (2017). Univariate CARMA models are defined as moving averages of a Levy sheet with CARMA kernels defined by AR and MA polynomials. We define multivariate CARMA models by a multivariate extension of CARMA kernels with matrix valued AR and MA polynomials. For the multivariate CARMA models, we derive the spectral density functions as explicit parametric func- tions. Given multivariate irregularly spaced data on R2, we propose Whittle estimation of CARMA parameters to minimize Whittle likelihood given with periodogram matrices and clarify conditions under which consistency and as- ymptotic normality hold under the so called mixed asymptotics. We nally in- troduce a method to conduct kriging for irregularly spaced data on R2 by mul- tivariate CARMA random fields with the estimated parameters in a Bayesian way and demonstrate the empirical properties by tri-variate spatial dataset of simulation and of US precipitation data.

Pages: 24 pages
Date: 2020-04
New Economics Papers: this item is included in nep-ecm
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10097/00127715

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:toh:dssraa:113

Access Statistics for this paper

More papers in DSSR Discussion Papers from Graduate School of Economics and Management, Tohoku University Contact information at EDIRC.
Bibliographic data for series maintained by Tohoku University Library ().