Uniform asymptotic optimality of linear predictions of a random field using an incorrect second-order structure (Q753373): Difference between revisions

For a random field z(t) defined for \(t\in R\subseteq {\mathbb{R}}^ d\) with specified second-order structure (mean function m and covariance function K), optimal linear prediction based on a finite number of observations is a straightforward procedure. Suppose \((m_ 0,K_ 0)\) is the second- order structure used to produce the predictions when in fact \((m_ 1,K_ 1)\) is the correct second-order structure and \((m_ 0,K_ 0)\) and \((m_ 1,K_ 1)\) are ``compatible'' on R, that is the two Gaussian measures associated are mutually absolutely continuous. For bounded R, as the points of observation become increasingly dense in R, predictions based on \((m_ 0,K_ 0)\) are shown to be uniformly asymptotically optimal relative to the predictions based on the correct \((m_ 1,K_ 1)\). Then it becomes inconsequential to distinguish between compatible second-order structures for purposes of linear prediction in that region. Explicit bounds on this rate of convergence are obtained in some special cases in which \(K_ 0=K_ 1\). A necessary and sufficient condition for consistency of best linear unbiased predictors is obtained, and the asymptotic optimality of these predictors is demonstrated under a compatibility condition on the mean structure.