Estimation of low-rank covariance function

DOI10.1016/J.SPA.2016.04.006zbMATH Open1387.60066arXiv1504.03009OpenAlexW2963297114MaRDI QIDQ335675FDOQ335675

Authors: Alexandre B. Tsybakov, Vladimir Koltchinskii, K. Lounici 

Publication date: 2 November 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We consider the problem of estimating a low rank covariance function $K(t,u)$ of a Gaussian process $S(t),tin[0,1]$ based on $n$ i.i.d. copies of $S$ observed in a white noise. We suggest a new estimation procedure adapting simultaneously to the low rank structure and the smoothness of the covariance function. The new procedure is based on nuclear norm penalization and exhibits superior performances as compared to the sample covariance function by a polynomial factor in the sample size $n$. Other results include a minimax lower bound for estimation of low-rank covariance functions showing that our procedure is optimal as well as a scheme to estimate the unknown noise variance of the Gaussian process.

Full work available at URL: https://arxiv.org/abs/1504.03009

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zbMATH Keywords

adaptationGaussian processnuclear normempirical risk minimizationlow rank covariance functionminimax lower bounds

Mathematics Subject Classification ID

Gaussian processes (60G15) Non-Markovian processes: estimation (62M09)

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Cited In (5)

• Robust Covariance Matrix Estimation in Heterogeneous Low Rank Context
• Low-rank multi-parametric covariance identification
• Optimal cleaning for singular values of cross-covariance matrices
• Low-Rank Covariance Function Estimation for Multidimensional Functional Data
• Degrees of freedom in low rank matrix estimation

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