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Biometrika 2000 87(3):727-730; doi:10.1093/biomet/87.3.727
© 2000 by Biometrika Trust
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Miscellanea. Exact Gaussian maximum likelihood and simulation for regularly-spaced observations with Gaussian correlations

RJ Martin

Department of Probability and Statistics, University of Sheffield, Sheffield S3 7RH, UK E-mail: r.j.martin@sheffield.ac.uk

For regularly-spaced observations with the Gaussian autocorrelation function, the finite and infinite autoregressive and moving-average representations can be obtained theoretically. This allows exact Gaussian maximum likelihood to be performed very accurately, and gives a simple exact simulation method.

Key Words: Gaussian maximum likelihood; simulation; spatial lattice process; stationary Gaussian process; time series


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