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Generalized Whittle Estimate for Nonstationary Spatial Data

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  • Yasumasa Matsuda

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.

Suggested Citation

  • Yasumasa Matsuda, 2013. "Generalized Whittle Estimate for Nonstationary Spatial Data," DSSR Discussion Papers 9, Graduate School of Economics and Management, Tohoku University.
    • Handle: RePEc:toh:dssraa:9
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    File URL: http://hdl.handle.net/10097/64986
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