Estimation of parameters of homogeneous Gaussian random fields

DOI10.1023/A:1010301020504MaRDI QIDQ2722140zbMATH OpenOpenAlexFDO

Authors O. O. Kurchenko, Yu. V. Kozachenko

Publication date 11 July 2001

Published in Ukraïns'kyĭ Matematychnyĭ Zhurnal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1010301020504

zbMATH Keywords

confidence ellipsoidsconsistent estimatesGaussian homogeneous random fields

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Parametric tolerance and confidence regions (62F25) Random fields; image analysis (62M40)

Review text

\textit{P. Lévy} [Am. J. Math. 62, 487-550 (1940; Zbl 0024.13906)] proved that for a standard Brownian motion \(\{w(t);\;t\in [0,1]\}\) the sum of squares of increments tends in mean square (and, under additional conditions, almost sure) to \(1\) under the condition that the diameter of partition of the interval \([0,1]\) tends to zero. \textit{G. Baxter} [Proc. Am. Math. Soc. 7, 522-527 (1956; Zbl 0070.36304)] generalized this result for a wide class of Gaussian random fields. Such limit theorems are called now Baxter-type theorems or Lévy-Baxter's theorems.NEWLINENEWLINENEWLINEIn this work, on the basis of limit theorems for quadratic variation, a consistent estimate for the parameters of a Gaussian homogeneous random field from a certain class is constructed. Confidence ellipsoids for the estimates of this sort are found.

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