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Autocovariance Varieties of Moving Average Random Fields

Abstract : We study the autocovariance functions of moving average random fields over the integer lattice $\mathbb{Z}^d$ from an algebraic perspective. These autocovariances are parametrized polynomially by the moving average coefficients, hence tracing out algebraic varieties. We derive dimension and degree of these varieties and we use their algebraic properties to obtain statistical consequences such as identifiability of model parameters. We connect the problem of parameter estimation to the algebraic invariants known as euclidean distance degree and maximum likelihood degree. Throughout, we illustrate the results with concrete examples. In our computations we use tools from commutative algebra and numerical algebraic geometry.
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https://hal.inria.fr/hal-02912047
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Submitted on : Wednesday, August 5, 2020 - 10:35:49 AM
Last modification on : Wednesday, August 5, 2020 - 5:14:12 PM
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Carlos Amendola, Viet Pham. Autocovariance Varieties of Moving Average Random Fields. MEGA 2019 - International Conference on Effective Methods in Algebraic Geometry, Jun 2019, Madrid, Spain. ⟨hal-02912047⟩

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