This paper provides a quasi-likelihood or minimum-contrast-type method for the parameter estimation of random fields in the frequency domain based on higher-order information. The estimation technique uses the spectral density of the general kth order and allows for possible long-range dependence in the random fields. To avoid bias due to edge effects, data tapering is incorporated into the method. The suggested minimum contrast functional is linear with respect to the periodogram of kth order, hence kernel estimation for the spectral densities is not needed. Furthermore, discretization is not required in the estimation of continuously observed random fields. The consistency and asymptotic normality of the resulting estimators are established. Illustrative applications of the method to some problems in mathematical finance and signal detection are given.

The entropy score of an observed outcome that has been given a probability forecast p is defined to be –log p. If p is derived from a probability model and there is a background model for which the same outcome has probability π, then the log ratio log(p/π) is the probability gain, and its expected value the information gain, for that outcome. Such concepts are closely related to the likelihood of the model and its entropy rate. The relationships between these concepts are explored in the case that the outcomes in question are the occurrence or nonoccurrence of events in a stochastic point process. It is shown that, in such a context, the mean information gain per unit time, based on forecasts made at arbitrary discrete time intervals, is bounded above by the entropy rate of the point process. Two examples illustrate how the information gain may be related to realizations with a range of values of ‘predictability'.

A general class of Markovian non-Gaussian bifurcating models for cell lineage data is presented. Examples include bifurcating autoregression, random coefficient autoregression, bivariate exponential, bivariate gamma, and bivariate Poisson models. Quasi-likelihood estimation for the model parameters and large-sample properties of the estimates are discussed.

This paper introduces long-range dependence for a stationary random field on a plane lattice, derives an exact power-law correlation model and other models with long-range dependence on the lattice, and explores the close connection between short-range dependent correlation functions and absolutely summable double sequences.

This paper introduces a rather general class of stationary continuous-time processes with long memory by randomizing the time-scale of short-memory processes. In particular, by randomizing the time-scale of continuous-time autoregressive and moving-average processes, many power-law decay and slow decay correlation functions are obtained.

We discuss long-memory properties and the partial sums process of the AR(1) process {Xt, t ∈ 𝕫} with random coefficient {at, t ∈ 𝕫} taking independent values Aj ∈ [0,1] on consecutive intervals of a stationary renewal process with a power-law interrenewal distribution. In the case when the distribution of generic Aj has either an atom at the point a=1 or a beta-type probability density in a neighborhood of a=1, we show that the covariance function of {Xt} decays hyperbolically with exponent between 0 and 1, and that a suitably normalized partial sums process of {Xt} weakly converges to a stable Lévy process.

A spectral theory for stationary random closed sets is developed and provided with a sound mathematical basis. The definition and a proof of the existence of the Bartlett spectrum of a stationary random closed set as well as the proof of a Wiener-Khinchin theorem for the power spectrum are used to two ends. First, well-known second-order characteristics like the covariance can be estimated faster than usual via frequency space. Second, the Bartlett spectrum and the power spectrum can be used as second-order characteristics in frequency space. Examples show that in some cases information about the random closed set is easier to obtain from these characteristics in frequency space than from their real-world counterparts.

Shot noise Cox processes constitute a large class of Cox and Poisson cluster processes in ℝd, including Neyman-Scott, Poisson-gamma and shot noise G Cox processes. It is demonstrated that, due to the structure of such models, a number of useful and general results can easily be established. The focus is on the probabilistic aspects with a view to statistical applications, particularly results for summary statistics, reduced Palm distributions, simulation with or without edge effects, conditional simulation of the intensity function and local and spatial Markov properties.

A sequence of first-order integer-valued autoregressive (INAR(1)) processes is investigated, where the autoregressive-type coefficient converges to 1. It is shown that the limiting distribution of the conditional least squares estimator for this coefficient is normal and the rate of convergence is n3/2. Nearly critical Galton–Watson processes with unobservable immigration are also discussed.

A new class of models for inhomogeneous spatial point processes is introduced. These locally scaled point processes are modifications of homogeneous template point processes, having the property that regions with different intensities differ only by a scale factor. This is achieved by replacing volume measures used in the density with locally scaled analogues defined by a location-dependent scaling function. The new approach is particularly appealing for modelling inhomogeneous Markov point processes. Distance-interaction and shot noise weighted Markov point processes are discussed in detail. It is shown that the locally scaled versions are again Markov and that locally the Papangelou conditional intensity of the new process behaves like that of a global scaling of the homogeneous process. Approximations are suggested that simplify calculation of the density, for example, in simulation. For sequential point processes, an alternative and simpler definition of local scaling is proposed.

A known gamma-type result for the Poisson process states that certain domains defined through configuration of the points (or ‘particles’) of the process have volumes which are gamma distributed. By proving the corresponding sequential gamma-type result, we show that in some cases such a domain allows for decomposition into subdomains each having independent exponentially distributed volumes. We consider other examples—based on the Voronoi and Delaunay tessellations—where a natural decomposition does not produce subdomains with exponentially distributed volumes. A simple algorithm for the construction of a typical Voronoi flower arises in this work. In our theoretical development, we generalize the classical theorem of Slivnyak, relating it to the strong Markov property of the Poisson process and to a result of Mecke and Muche (1995). This new theorem has interest beyond the specific problems being considered here.

We study percolation and Ising models defined on generalizations of quad-trees used in multiresolution image analysis. These can be viewed as trees for which each mother vertex has 2d daughter vertices, and for which daughter vertices are linked together in d-dimensional Euclidean configurations. Retention probabilities and interaction strengths differ according to whether the relevant bond is between mother and daughter or between neighbours. Bounds are established which locate phase transitions and show the existence of a coexistence phase for the percolation model. Results are extended to the corresponding Ising model using the Fortuin-Kasteleyn random-cluster representation.

We define a class of tessellation models based on perturbing or deforming standard tessellations such as the Voronoi tessellation. We show how distributions over this class of ‘deformed’ tessellations can be used to define prior distributions for models based on tessellations, and how inference for such models can be carried out using Markov chain Monte Carlo methods; stability properties of the algorithms are investigated. Our approach applies not only to fixed dimension problems, but also to variable dimension problems, in which the number of cells in the tessellation is unknown. We illustrate our methods with two real examples. The first relates to reconstructing animal territories, represented by the individual cells of a tessellation, from observation of an inhomogeneous Poisson point process. The second example involves the analysis of an image of a cross-section through a sample of metal, with the tessellation modelling the micro-crystalline structure of the metal.

Generalizing Matérn's (1960) two hard-core processes, marked point processes are considered as models for systems of varying-sized, nonoverlapping convex grains. A Poisson point process is generated and grains are placed at the points. The grains are supposed to have varying sizes but the same shape as a fixed convex grain, with spheres as an important special case. The pattern is thinned so that no grains overlap. We consider the thinning probability of a ‘typical point’ under various thinning procedures, the volume fraction of the resulting system of grains, the relation between the intensity of the point processes before and after thinning, and the corresponding size distributions. The study is inspired by problems in material fatigue, where cracks are supposed to be initiated by large defects.

In this paper, we consider a Hilbert-space-valued autoregressive stochastic sequence (Xn) with several regimes. We suppose that the underlying process (In) which drives the evolution of (Xn) is stationary. Under some dependence assumptions on (In), we prove the existence of a unique stationary solution, and with a symmetric compact autocorrelation operator, we can state a law of large numbers with rates and the consistency of the covariance estimator. An overall hypothesis states that the regimes where the autocorrelation operator's norm is greater than 1 should be rarely visited.

This paper is concerned with the correlation structure of a stationary discrete time-series with long memory or long-range dependence. Given a sequence of bounded variation, we obtain necessary and sufficient conditions for a function generated from the sequence to be a proper correlation function. These conditions are applied to derive various slowly decaying correlation models. To obtain correlation models with short-range dependence from an absolutely summable sequence, a simple method is introduced.

The Bernstein-von Mises theorem, concerning the convergence of suitably normalized and centred posterior density to normal density, is proved for a certain class of linearly parametrized parabolic stochastic partial differential equations (SPDEs) as the number of Fourier coefficients in the expansion of the solution increases to infinity. As a consequence, the Bayes estimators of the drift parameter, for smooth loss functions and priors, are shown to be strongly consistent, asymptotically normal and locally asymptotically minimax (in the Hajek-Le Cam sense), and asymptotically equivalent to the maximum likelihood estimator as the number of Fourier coefficients become large. Unlike in the classical finite dimensional SDEs, here the total observation time and the intensity of noise remain fixed.

We consider the estimation of Markov transition matrices by Bayes’ methods. We obtain large and moderate deviation principles for the sequence of Bayesian posterior distributions.

The paper studies the impact of a broadly understood trend, which includes a change point in mean and monotonic trends studied by Bhattacharya et al. (1983), on the asymptotic behaviour of a class of tests designed to detect long memory in a stationary sequence. Our results pertain to a family of tests which are similar to Lo's (1991) modified R/S test. We show that both long memory and nonstationarity (presence of trend or change points) can lead to rejection of the null hypothesis of short memory, so that further testing is needed to discriminate between long memory and some forms of nonstationarity. We provide quantitative description of trends which do or do not fool the R/S-type long memory tests. We show, in particular, that a shift in mean of a magnitude larger than N-½, where N is the sample size, affects the asymptotic size of the tests, whereas smaller shifts do not do so.

Siegmund and Worsley (1995) considered the problem of testing for signals with unknown location and scale in a Gaussian random field defined on ℝN. The test statistic was the maximum of a Gaussian random field in an N+1 dimensional ‘scale space’, N dimensions for location and 1 dimension for the scale of a smoothing filter. Scale space is identical to a continuous wavelet transform with a kernel smoother as the wavelet, though the emphasis here is on signal detection rather than image compression or enhancement. Two methods were used to derive an approximate null distribution for N=2 and N=3: one based on the method of volumes of tubes, the other based on the expected Euler characteristic of the excursion set. The purpose of this paper is two-fold: to show how the latter method can be extended to higher dimensions, and to apply this more general result to χ2 fields. The result of Siegmund and Worsley (1995) then follows as a special case. In this paper the results are applied to the problem of searching for activation in brain images obtained by functional magnetic resonance imaging (fMRI).