TY - JOUR TI - Local generalised method of moments: an application to point process-based rainfall models AV - public Y1 - 2015/// EP - 325 N2 - Long series of simulated rainfall are required at point locations for a range of applications, including hydrological studies. Clustered point process-based rainfall models have been used for generating such simulations for many decades. These models suffer from a major limitation, however, their stationarity. Although seasonality can be allowed by ?tting separate models for each calendar month or season, the models are unsuitable in their basic form for climate impact studies. In this paper, we develop new methodology to address this limitation. We extend the current ?tting approach by allowing the discrete covariate, calendar month, to be replaced or supplemented with continuous covariates that are more directly related to the incidence and nature of rainfall. The covariate-dependent model parameters are estimated for each time interval using a kernel-based nonparametric approach within a generalised method-of-moments framework. An empirical study demonstrates the new methodology using a time series of 5-min rainfall data. The study considers both local mean and local linear approaches. While asymptotic results are included, the focus is on developing useable methodology for a complex model that can only be solved numerically. Issues including the choice of weighting matrix, estimation of parameter uncertainty and bandwidth and model selection are considered from this perspective. ID - discovery1463374 PB - John Wiley and Sons SP - 312 VL - 26 IS - 4 N1 - © 2015 The Authors. Environmetrics Published by John Wiley & Sons Ltd. This is an open access article under the terms of the Creative Commons Attribution License, which permits use, distribution and reproduction in any medium, provided the original work is properly cited. UR - http://dx.doi.org/10.1002/env.2338 SN - 1180-4009 JF - Environmetrics A1 - Kaczmarska, J A1 - Isham, VS A1 - Northrop, PJ ER -