期刊
JOURNAL OF MULTIVARIATE ANALYSIS
卷 99, 期 9, 页码 1962-1984出版社
ELSEVIER INC
DOI: 10.1016/j.jmva.2008.02.005
关键词
Multivariate Gaussian process; Infill asymptotics; Spectral density; Fourier transform; Joint cumulant
资金
- United States Environmental Protection Agency [#R-82940201]
Cross-periodograms can be used to study a multivariate spatial process observed on a lattice. For spatial data, it is often appropriate to study asymptotic properties of statistical procedures under fixed-domain asymptotics in which the number of observations increases in a fixed region while shrinking distances between neighboring observations. Using fixed-domain asymptotics, we prove relative asymptotic unbiasedness and relative consistency of a smoothed cross-periodogram after appropriate filtering of the data. In addition, we show that smoothed cross-periodograms are asymptotically normal when the process is stationary multivariate Gaussian with appropriate assumptions on high-frequency behavior of the spectral density. (C) 2008 Elsevier Inc. All rights reserved.
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