Parametric estimation for Gaussian fields indexed by graphs

DOI10.1007/S00440-013-0503-2MaRDI QIDQ2249584zbMATH OpenOpenAlexFDO

Authors Thibault Espinasse, Fabrice Gamboa, Jean-Michel Loubes

Publication date 2 July 2014

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00440-013-0503-2

zbMATH Keywords

Gaussian processes on graphsmaximum likelihood estimationspectral density

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Asymptotic properties of parametric estimators (62F12) Inference from stochastic processes and spectral analysis (62M15)

Review text

The authors extend some classical results from time series to spatial fields over general graphs and provide a new framework to define a class of stationary Gaussian processes on graphs. They extend Whittle's maximum likelihood estimation of the parameters for the corresponding spectral density and show their asymptotic optimality.

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Cited in

(10)

• Adaptive estimation of nonparametric geometric graphs
• Maximum likelihood for Gaussians on graphs
• A kriging procedure for processes indexed by graphs
• scientific article; zbMATH DE number 176076 (Why is no real title available?)
• A frequency domain comparison of estimation methods for gaussian fields
• Estimation of means in graphical Gaussian models with symmetries
• Multiple Matrix Gaussian Graphs Estimation
• Moment-Based Estimation of Stochastic Kronecker Graph Parameters
• Embedded Trees: Estimation of Gaussian Processes on Graphs with Cycles
• Gaussian Whittle-Matérn fields on metric graphs

Describes a project that uses

Uses Software

• GMRFLib
• itsmr

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