Global smoothness estimation of a Gaussian process from general sequence designs

DOI10.1214/14-EJS925MaRDI QIDQ405335zbMATH OpenOpenAlexFDO

Authors Delphine Blanke, Céline Vial

Publication date 5 September 2014

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1211.2763, https://projecteuclid.org/euclid.ejs/1407848858

zbMATH Keywords

divided differenceslocally stationary processinference for Gaussian processesquadratic variationsunevenly spaced data

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Gaussian processes (60G15) Non-Markovian processes: estimation (62M09) Numerical interpolation (65D05) Sample path properties (60G17)

Abstract: We consider a real Gaussian process $X$ having a global unknown smoothness $$, $r_{scriptscriptstyle0}inmathds{N}_0$ and $$, with $X^{(r_{scriptscriptstyle0})}$ (the mean-square derivative of $X$ if $r_{scriptscriptstyle0}ge1$) supposed to be locally stationary with index $$. From the behavior of quadratic variations built on divided differences of $X$, we derive an estimator of $$ based on - not necessarily equally spaced - observations of $X$. Various numerical studies of these estimators exhibit their properties for finite sample size and different types of processes, and are also completed by two examples of application to real data.

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Cited in

(11)

• Asymptotic Analysis of Maximum Likelihood Estimation of Covariance Parameters for Gaussian Processes: An Introduction with Proofs
• Assessing the number of mean square derivatives of a Gaussian process
• Estimating jump intensity and detecting jump instants in the context of p derivatives
• Estimating the order of mean-square derivatives with quadratic variations
• Learning the smoothness of noisy curves with application to online curve estimation
• Estimation of number of the derivatives of a Gaussian process
• Efficient parametric estimation for a signal-plus-noise Gaussian model from discrete time observations
• Estimating the smoothness of a Gaussian random field from irregularly spaced data via higher-order quadratic variations
• On fixed-domain asymptotics, parameter estimation and isotropic Gaussian random fields with Matérn covariance functions
• Smoothness estimation of nonstationary Gaussian random fields from irregularly spaced data observed along a curve
• Detecting instants of jumps and estimating their intensity in the context of \(p\) derivatives with continuous or discrete data

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