Global smoothness estimation of a Gaussian process from general sequence designs
From MaRDI portal
Publication:405335
DOI10.1214/14-EJS925zbMath1298.62141arXiv1211.2763OpenAlexW2053778794MaRDI QIDQ405335
Publication date: 5 September 2014
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.2763
divided differenceslocally stationary processinference for Gaussian processesquadratic variationsunevenly spaced data
Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Sample path properties (60G17) Numerical interpolation (65D05)
Related Items
Estimating jump intensity and detecting jump instants in the context of \(p\) derivatives ⋮ Learning the smoothness of noisy curves with application to online curve estimation ⋮ Detecting instants of jumps and estimating their intensity in the context of p derivatives with continuous or discrete data ⋮ Efficient parametric estimation for a signal-plus-noise Gaussian model from discrete time observations ⋮ On fixed-domain asymptotics, parameter estimation and isotropic Gaussian random fields with Matérn covariance functions ⋮ Smoothness estimation of nonstationary Gaussian random fields from irregularly spaced data observed along a curve ⋮ Asymptotic Analysis of Maximum Likelihood Estimation of Covariance Parameters for Gaussian Processes: An Introduction with Proofs
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimating the order of mean-square derivatives with quadratic variations
- Assessing the number of mean square derivatives of a Gaussian process
- Sampling designs for estimating integrals of stochastic processes
- Wavelet coefficients of a Gaussian process and applications
- Sojourns and extremes of Gaussian processes
- Uniform reconstruction of Gaussian processes
- Spatial adaption for predicting random functions
- On the relationship between fractal dimension and fractal index for stationary stochastic processes
- Asymptotic optimality of regular sequence designs
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Average-case analysis of numerical problems
- Optimal designs for weighted approximation and integration of stochastic processes on \([0,\infty)\)
- Predicting integrals of stochastic processes
- Periodogram-based estimators of fractal properties
- Optimal designs for approximating the path of a stochastic process
- Spline approximation of random processes and design problems
- A note on the prediction error for small time lags into the future (Corresp.)
- Prediction of level crossings for normal processes containing deterministic components
- Approximating integrals of stochastic processes: extensions
- ESTIMATION OF FRACTAL INDEX AND FRACTAL DIMENSION OF A GAUSSIAN PROCESS BY COUNTING THE NUMBER OF LEVEL CROSSINGS
- Estimating Functionals of a Stochastic Process
- Bayesian Wavelet Regression on Curves With Application to a Spectroscopic Calibration Problem
- Large deviations in the piecewise linear approximation of Gaussian processes with stationary increments
- Designs for Regression Problems With Correlated Errors: Many Parameters
- A Bound on Tail Probabilities for Quadratic Forms in Independent Random Variables
- Designs for Regression Problems with Correlated Errors III
- Estimators of fractal dimension: assessing the roughness of time series and spatial data
