A sieve estimator for the covariance of a Gaussian process

DOI10.1214/aos/1176350825zbMath0665.62089OpenAlexW1970379885MaRDI QIDQ1116251

Jay H. Beder

Publication date: 1988

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350825

zbMATH Keywords

Gaussian processmeanweak consistencycovariancemaximum likelihood estimatorssieve estimatorstrong consistencyreproducing kernel Hilbert spaceasymptotic unbiasednessGaussian dichotomy theoremmean-square consistency

Mathematics Subject Classification ID

Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) Continuity and singularity of induced measures (60G30)

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