Local Whittle estimator for anisotropic random fields

Authors:
Hongwen Guo;Chae Young Lim;Mark M. Meerschaert
Affiliations:
Department of Probability and Statistics, Michigan State University, East Lansing, MI 48824, United States;Department of Probability and Statistics, Michigan State University, East Lansing, MI 48824, United States;Department of Probability and Statistics, Michigan State University, East Lansing, MI 48824, United States
Venue:
Journal of Multivariate Analysis
Year:
2009

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Abstract

A local Whittle estimator is developed to simultaneously estimate the long memory parameters for stationary anisotropic scalar random fields. It is shown that these estimators are consistent and asymptotically normal, under some weak technical conditions. A brief simulation study illustrates a practical application of the estimator.