Semiparametric estimation of spectral density function for irregular spatial data

Estimation of the covariance structure of spatial processes is of fundamental importance in spatial statistics. In the literature, several non-parametric and semi-parametric methods have been developed to estimate the covariance structure based on the spectral representation of covariance functions. However,they either ignore the high frequency properties of the spectral density, which are essential to determine the performance of interpolation procedures such as Kriging, or lack of theoretical justification. We propose a new semi-parametric method to estimate spectral densities of isotropic spatial processes with irregular observations. The spectral density function at low frequencies is estimated using smoothing spline, while a parametric model is used for the spectral density at high frequencies, and the parameters are estimated by a method-of-moment approach based on empirical variograms at small lags. We derive the asymptotic bounds for bias and variance of the proposed estimator. The simulation study shows that our method outperforms the existing non-parametric estimator by several performance criteria.Comment: 29 pages, 2 figure

A Euclidean likelihood estimator for bivariate tail dependence

The spectral measure plays a key role in the statistical modeling of multivariate extremes. Estimation of the spectral measure is a complex issue, given the need to obey a certain moment condition. We propose a Euclidean likelihood-based estimator for the spectral measure which is simple and explicitly defined, with its expression being free of Lagrange multipliers. Our estimator is shown to have the same limit distribution as the maximum empirical likelihood estimator of J. H. J. Einmahl and J. Segers, Annals of Statistics 37(5B), 2953--2989 (2009). Numerical experiments suggest an overall good performance and identical behavior to the maximum empirical likelihood estimator. We illustrate the method in an extreme temperature data analysis.Comment: 18 pages, 8 figure

Spectral Representation Learning for Conditional Moment Models

Many problems in causal inference and economics can be formulated in the framework of conditional moment models, which characterize the target function through a collection of conditional moment restrictions. For nonparametric conditional moment models, efficient estimation often relies on preimposed conditions on various measures of ill-posedness of the hypothesis space, which are hard to validate when flexible models are used. In this work, we address this issue by proposing a procedure that automatically learns representations with controlled measures of ill-posedness. Our method approximates a linear representation defined by the spectral decomposition of a conditional expectation operator, which can be used for kernelized estimators and is known to facilitate minimax optimal estimation in certain settings. We show this representation can be efficiently estimated from data, and establish L2 consistency for the resulting estimator. We evaluate the proposed method on proximal causal inference tasks, exhibiting promising performance on high-dimensional, semi-synthetic data

Estimating stellar oscillation-related parameters and their uncertainties with the moment method

The moment method is a well known mode identification technique in asteroseismology (where `mode' is to be understood in an astronomical rather than in a statistical sense), which uses a time series of the first 3 moments of a spectral line to estimate the discrete oscillation mode parameters l and m. The method, contrary to many other mode identification techniques, also provides estimates of other important continuous parameters such as the inclination angle alpha, and the rotational velocity v_e. We developed a statistical formalism for the moment method based on so-called generalized estimating equations (GEE). This formalism allows the estimation of the uncertainty of the continuous parameters taking into account that the different moments of a line profile are correlated and that the uncertainty of the observed moments also depends on the model parameters. Furthermore, we set up a procedure to take into account the mode uncertainty, i.e., the fact that often several modes (l,m) can adequately describe the data. We also introduce a new lack of fit function which works at least as well as a previous discriminant function, and which in addition allows us to identify the sign of the azimuthal order m. We applied our method to the star HD181558, using several numerical methods, from which we learned that numerically solving the estimating equations is an intensive task. We report on the numerical results, from which we gain insight in the statistical uncertainties of the physical parameters involved in the moment method.Comment: The electronic online version from the publisher can be found at http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9876.2005.00487.

A local moments estimation of the spectrum of a large dimensional covariance matrix

This paper considers the problem of estimating the population spectral distribution from a sample covariance matrix when its dimension is large. We generalize the contour-integral based method in Mestre (2008) and present a local moment estimation procedure. Compared with the original, the new procedure can be applied successfully to models where the asymptotic clusters of sample eigenvalues generated by different population eigenvalues are not all separate. The proposed estimates are proved to be consistent. Numerical results illustrate the implementation of the estimation procedure and demonstrate its efficiency in various cases.postprin

The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1

The time series with periodic behavior, such as the periodic autoregressive (PAR) models belonging to the class of the periodically correlated processes, are present in various real applications. In the literature, such processes were considered in different directions, especially with the Gaussian-distributed noise. However, in most of the applications, the assumption of the finite-variance distribution seems to be too simplified. Thus, one can consider the extensions of the classical PAR model where the non-Gaussian distribution is applied. In particular, the Gaussian distribution can be replaced by the infinite-variance distribution, e.g. by the $\alpha-$stable distribution. In this paper, we focus on the multidimensional $\alpha-$stable PAR time series models. For such models, we propose a new estimation method based on the Yule-Walker equations. However, since for the infinite-variance case the covariance does not exist, thus it is replaced by another measure, namely the covariation. In this paper we propose to apply two estimators of the covariation measure. The first one is based on moment representation (moment-based) while the second one - on the spectral measure representation (spectral-based). The validity of the new approaches are verified using the Monte Carlo simulations in different contexts, including the sample size and the index of stability of the noise. Moreover, we compare the moment-based covariation-based method with spectral-based covariation-based technique. Finally, the real data analysis is presented.Comment: 31 pages, 17 figure

The experimental determination of tyre model parameters

SUMMARY This report describes the analysis of a series of experiments on pneumatic tyres which were designed to test the various hypotheses: regarding the deformed shape of a tyre during the steering process. The experiments consisted of several separate tests first described in Ref. 1 and 2. a) The application of a point lateral force or a moment at one position on the tread band which is restrained at the centre of the wheel, and the measurement of the resulting lateral deflection of each point of the tyre perimeter. b) The application of a uniform force around the tyre perimeter on a hollow cylindrical former and applying a load at the centre of the wheel. c) Direct determination of tread band tension by cutting the tread band and bridging the cut by a dynamometer. d) Estimation of the bending modulus of the tread band by test on sections cut from the tread band. The analysis of the experiments is carried out by first transforming the test results into a Fourier series and determining the spectral content of the bending line with an harmonic analysis. Transfer functions of beam and string models are derived and applied to the test results. A method of considering a three parameter model is described