Maximum likelihood estimation for a bivariate Gaussian process under fixed domain asymptotics

2016/03/30 by Velandia, Daira, Bachoc, François, Bevilacqua, Moreno +2
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1603.09059

Abstract

We consider maximum likelihood estimation with data from a bivariate Gaussian process with a separable exponential covariance model under fixed domain asymptotic. We first characterize the equivalence of Gaussian measures under this model. Then consistency and asymptotic distribution for the microergodic parameters are established. A simulation study is presented in order to compare the finite sample behavior of the maximum likelihood estimator with the given asymptotic distribution.

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