An example of inconsistent MLE of spatial covariance parameters under increasing domain asymptotics

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• 作者：Tonglin Zhang ^{tlzhang@stat.purdue.edu" class="auth_mail" title="E-mail the corresponding author}
• 关键词：Fixed domain and increasing domain asymptotics ; Gaussian random field ; Inconsistency ; Maximum likelihood estimator
• 刊名：Statistics & Probability Letters
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：120
• 期：Complete
• 页码：108-113
• 全文大小：360 K

文摘

Asymptotic properties of estimators of covariance parameters in spatial statistics are commonly considered under the frameworks of increasing domain and fixed domain asymptotics, respectively. Although inconsistency is a general conclusion under the framework of fixed domain asymptotics, it is generally believed that consistency should generally hold under the framework of increasing domain asymptotics. This article provides an example in which the maximum likelihood estimator (MLE) of covariance parameters is still inconsistent under the framework of increasing domain asymptotics. Therefore, consistency may still be a problem under the framework of increasing domain asymptotics.