eprintid: 1463374 rev_number: 49 eprint_status: archive userid: 608 dir: disk0/01/46/33/74 datestamp: 2015-07-13 14:26:38 lastmod: 2021-10-04 00:05:10 status_changed: 2015-07-13 14:30:12 type: article metadata_visibility: show item_issues_count: 0 creators_name: Kaczmarska, J creators_name: Isham, VS creators_name: Northrop, PJ title: Local generalised method of moments: an application to point process-based rainfall models ispublished: pub divisions: UCL divisions: B04 divisions: C06 divisions: F61 note: © 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. abstract: 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 fitting 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 fitting 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. date: 2015 publisher: John Wiley and Sons official_url: http://dx.doi.org/10.1002/env.2338 vfaculties: VMPS oa_status: green full_text_type: pub language: eng primo: open primo_central: open_green article_type_text: Article verified: verified_manual elements_source: Manually entered elements_id: 1019039 doi: 10.1002/env.2338 lyricists_name: Isham, Valerie lyricists_name: Northrop, Paul lyricists_id: VSISH67 lyricists_id: PJNOR32 full_text_status: public publication: Environmetrics volume: 26 number: 4 pagerange: 312-325 issn: 1180-4009 citation: Kaczmarska, J; Isham, VS; Northrop, PJ; (2015) Local generalised method of moments: an application to point process-based rainfall models. Environmetrics , 26 (4) pp. 312-325. 10.1002/env.2338 <https://doi.org/10.1002/env.2338>. Green open access document_url: https://discovery.ucl.ac.uk/id/eprint/1463374/3/env2338.pdf document_url: https://discovery.ucl.ac.uk/id/eprint/1463374/5/Isham_env2338-sup-0001-Supplementary.pdf