Nonparametric estimation of covariance functions by model selection
نویسندگان
چکیده
منابع مشابه
Nonparametric estimation of covariance functions by model selection
We propose a model selection approach for covariance estimation of a multidimensional stochastic process. Under very general assumptions, observing i.i.d replications of the process at fixed observation points, we construct an estimator of the covariance function by expanding the process onto a collection of basis functions. We study the non asymptotic property of this estimate and give a tract...
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2010
ISSN: 1935-7524
DOI: 10.1214/09-ejs493