Miscellanea. Exact Gaussian maximum likelihood and simulation for regularly-spaced observations with Gaussian correlations

Author: R. Martin

Source: Biometrika, Volume 87, Number 3, 1 September 2000 , pp. 727-730(4)

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Abstract:

For regularly-spaced observations with the Gaussian autocorrelation function, the finite and infinite autoregressive and moving-average representations can be obtained theoretically. This allows exact Gaussian maximum likelihood to be performed very accurately, and gives a simple exact simulation method.

Keywords: Gaussian maximum likelihood; simulation; spatial l

Document Type: Original article

Affiliations: 1: Department of Probability and Statistics, University of Sheffield, Sheffield S3 7RH, UK

Publication date: 2000-09-01