Spectral Approximation to the Likelihood for an Intrinsic Gaussian Random Field

Intrinsic Gaussian random fields generated by conditional autoregressive models are considered. A spectral approximation to the log-likelihood function of an intrinsic random field was given by Künsch. Here a rigorous treatment is given of the comparison between the exact and spectral log-likelihood functions as the domain of observations increases.

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Year of publication:	1999
Authors:	Kent, J. T. ; Mohammadzadeh, M.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 70.1999, 1, p. 136-155
Publisher:	Elsevier
Keywords:	intrinsic random fields spectral approximation conditional autoregression Whittle approximation trace class norm

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221364