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

30 Mar 2016 · Velandia Daira IMT, GdR MASCOT-NUM, Bachoc François IMT, GdR MASCOT-NUM, Bevilacqua Moreno IMT, Gendre Xavier IMT, Loubes Jean-Michel IMT ·

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

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