Estimation of causal CARMA random fields

02/13/2019

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by   Claudia Klüppelberg, et al.

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Technische Universität München

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We estimate model parameters of Lévy-driven causal CARMA random fields by fitting the empirical variogram to the theoretical counterpart using a weighted least squares (WLS) approach. Subsequent to deriving asymptotic results for the variogram estimator, we show strong consistency and asymptotic normality of the parameter estimator. Furthermore, we conduct a simulation study to assess the quality of the WLS estimator for finite samples. For the simulation we utilize numerical approximation schemes based on truncation and discretization of stochastic integrals and we analyze the associated simulation errors in detail. Finally, we apply our results to real data of the cosmic microwave background.