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Spatial design matrices and associated quadratic forms: structure and properties

Author

Listed:
  • Hillier, Grant
  • Martellosio, Federico
Abstract
The paper provides significant simplifications and extensions of results obtained by Gorsich, Genton, and Strang (J. Multivariate Anal. 80 (2002) 138) on the structure of spatial design matrices. These are the matrices implicitly defined by quadratic forms that arise naturally in modelling intrinsically stationary and isotropic spatial processes.We give concise structural formulae for these matrices, and simple generating functions for them. The generating functions provide formulae for the cumulants of the quadratic forms of interest when the process is Gaussian, second-order stationary and isotropic. We use these to study the statistical properties of the associated quadratic forms, in particular those of the classical variogram estimator, under several assumptions about the actual variogram.

Suggested Citation

  • Hillier, Grant & Martellosio, Federico, 2006. "Spatial design matrices and associated quadratic forms: structure and properties," MPRA Paper 15807, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:15807
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    File URL: https://mpra.ub.uni-muenchen.de/15807/1/MPRA_paper_15807.pdf
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    References listed on IDEAS

    as
    1. Hillier, G.H., 1999. "The density of a quadratic form in a vector uniformly distributed on the n-sphere," Discussion Paper Series In Economics And Econometrics 9902, Economics Division, School of Social Sciences, University of Southampton.
    2. Hillier, Grant, 2001. "THE DENSITY OF A QUADRATIC FORM IN A VECTOR UNIFORMLY DISTRIBUTED ON THE n-SPHERE," Econometric Theory, Cambridge University Press, vol. 17(1), pages 1-28, February.
    3. Gorsich, David J. & Genton, Marc G. & Strang, Gilbert, 2002. "Eigenstructures of Spatial Design Matrices," Journal of Multivariate Analysis, Elsevier, vol. 80(1), pages 138-165, January.
    4. Ali, Mukhtar M, 1987. "Durbin-Watson and Generalized Durbin-Watson Tests for Autocorrelations and Randomness," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(2), pages 195-203, April.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Reinaldo Arellano-Valle & Marc Genton, 2010. "An invariance property of quadratic forms in random vectors with a selection distribution, with application to sample variogram and covariogram estimators," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(2), pages 363-381, April.
    2. Genton, Mark G. & Ruiz-Gazen, Anne, 2009. "Visualizing Influential Observations in Dependent Data," TSE Working Papers 09-051, Toulouse School of Economics (TSE).

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    More about this item

    Keywords

    Cumulant; Intrinsically stationary process; Kronecker product; Quadratic form; Spatial design matrix; Variogram;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics

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