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Abstract:
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We provide a nonparametric method to estimate a spatial variance function, which helps constructing a confidence band of a spatio-temporal process. The method is applicable to any continuous spatial process collected over time. We use a linear filter to compute a local variogram and local variance (Kim et al., 2016). We investigate the relationship between the effective sample size and the smoothness parameter through a simulation study. The estimation results are compared to that of a local-likelihood approach proposed by Anderes and Stein(2011).
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