scientific article; zbMATH DE number 1072474
We consider a process \(x\) belonging (in quadratic mean) to a Hölder space with exponent \(s\). The process is observed at times \((n\Delta)_{n=0,\dots, N}\) with \(T=N\Delta\). We use a kernel \(E(u,v)\) such that: \(E(u,v)\) is a measurable function from \(\mathbb{R}^2\) to \(\mathbb{R}\) satisfying \(|E(u,v)|\leq \Phi(u-v)\) with \(\Phi\in L^1(\mathbb{R})\). In order to take into account the smoothness of the process, we assume that \(E(u,v)\) satisfies \[ \forall u\in\mathbb{R}:\quad\sum_{p\in\mathbb{Z}} E(u,p) (p-u)^k= \delta_0(k) \quad\text{for}\quad k=0,\dots, L=[s]. \] First a nonparametric estimate is build using the discrete observed data and the kernel \(E\). The strong consistency and the asymptotic normality are proved for \(T\to\infty\), \(\Delta\to 0\) and \(\sqrt{T} \Delta^s\to 0\). The case where the covariance function depends on a parameter is then studied. For the entire collection see [Zbl 0841.00017].
- A sieve estimator for the covariance of a Gaussian process
- Wavelet analysis and covariance structure of some classes of non-stationary processes
- Gaussian stationary processes: Adaptive wavelet decompositions, discrete approximations, and their convergence
- Estimation of low-rank covariance function
- scientific article; zbMATH DE number 29177 (Why is no real title available?)
- A Time‐Domain Semi‐parametric Estimate for Strongly Dependent Continuous‐Time Stationary Processes
- Covariance Structure of Wavelet Coefficients: Theory and Models in a Bayesian Perspective
- scientific article; zbMATH DE number 224222 (Why is no real title available?)
- Uniform Hölder exponent of a stationary increments Gaussian process: estimation starting from average values
- WAVELET ESTIMATION OF THE COVARIANCE OF ALMOST PERIODICALLY CORRELATED PROCESSES AND STUDY OF ASYMPTOTIC PROPERTIES IN A CONTEXT OF WEAK DEPENDENCE
- Non parametric estimation of smooth stationary covariance functions by interpolation methods
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4359378)
