On the consistent separation of scale and variance for Gaussian random fields

Details On the consistent separation of scale and variance for Gaussian random fields On the consistent separation of scale and variance for Gaussian random fields

2009-06-20

arxiv.org/abs/0906.3829v1

Mathematics

Statistics Theory

Scientific paper

We present fixed domain asymptotic results that establish consistent estimates of the variance and scale parameters for a Gaussian random field with a geometric anisotropic Mat\'ern autocovariance in dimension $d>4$. When $d<4$ this is impossible due to the mutual absolute continuity of Mat\'ern Gaussian random fields with different scale and variance (see Zhang \cite{zhang:2004}). Informally, when $d>4$, we show that one can estimate the coefficient on the principle irregular term accurately enough to get a consistent estimate of the coefficient on the second irregular term. These two coefficients can then be used to separate the scale and variance. We extend our results to the general problem of estimating a variance and geometric anisotropy for more general autocovariance functions. Our results illustrate the interaction between the accuracy of estimation, the smoothness of the random field, the dimension of the observation space, and the number of increments used for estimation. As a corollary, our results establish the orthogonality of Mat\'ern Gaussian random fields with different parameters when $d>4$. The case $d=4$ is still open.

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