Nonparametric estimation of covariance functions by model selection

DOI10.1214/09-EJS493zbMath1329.62365arXiv0909.5168MaRDI QIDQ1952083

Jérémie Bigot, Lilian Muñiz Alvarez, Jean-Michel Loubes, R. J. Biscay

Publication date: 27 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.5168

zbMATH Keywords

model selectionoracle inequalitycovariance estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09)

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Estimation of low-rank covariance function ⋮ Adaptive covariance estimation with model selection ⋮ Estimation error for blind Gaussian time series prediction ⋮ Estimation of covariance functions by a fully data-driven model selection procedure and its application to Kriging spatial interpolation of real rainfall data

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• Model selection for regression on a random design
• Adaptive estimation of the spectrum of a stationary Gaussian sequence

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