Maximum likelihood estimation for Gaussian processes under inequality constraints
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Publication:2323946
Abstract: We consider covariance parameter estimation for a Gaussian process under inequality constraints (boundedness, monotonicity or convexity) in fixed-domain asymptotics. We address the estimation of the variance parameter and the estimation of the microergodic parameter of the Mat'ern and Wendland covariance functions. First, we show that the (unconstrained) maximum likelihood estimator has the same asymptotic distribution, unconditionally and conditionally to the fact that the Gaussian process satisfies the inequality constraints. Then, we study the recently suggested constrained maximum likelihood estimator. We show that it has the same asymptotic distribution as the (unconstrained) maximum likelihood estimator. In addition, we show in simulations that the constrained maximum likelihood estimator is generally more accurate on finite samples. Finally, we provide extensions to prediction and to noisy observations.
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Cited in
(14)- Composite likelihood estimation for a Gaussian process under fixed domain asymptotics
- Asymptotic behavior of the likelihood function of covariance matrices of spatial Gaussian processes
- Sequential construction and dimension reduction of Gaussian processes under inequality constraints
- Finite-dimensional approximation of Gaussian processes with linear inequality constraints and noisy observations
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- Asymptotic properties of a maximum likelihood estimator with data from a Gaussian process
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- Asymptotic Analysis of Maximum Likelihood Estimation of Covariance Parameters for Gaussian Processes: An Introduction with Proofs
- Gaussian field on the symmetric group: prediction and learning
- Maximum likelihood estimation in Gaussian models under total positivity
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