Mixed domain asymptotics for a stochastic process model with time trend and measurement error

DOI10.3150/15-BEJ740MaRDI QIDQ502861zbMATH OpenFDO

Authors Chih-Hao Chang, Hsin-Cheng Huang, Ching-Kang Ing

Publication date 11 January 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.08898, https://projecteuclid.org/euclid.bj/1475001352

zbMATH Keywords

asymptotic normalityconsistencyexponential covariance functionfixed domain asymptoticsincreasing domain asymptotics

Mathematics Subject Classification ID

General second-order stochastic processes (60G12) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Non-Markovian processes: estimation (62M09)

Abstract: We consider a stochastic process model with time trend and measurement error. We establish consistency and derive the limiting distributions of the maximum likelihood (ML) estimators of the covariance function parameters under a general asymptotic framework, including both the fixed domain and the increasing domain frameworks, even when the time trend model is misspecified or its complexity increases with the sample size. In particular, the convergence rates of the ML estimators are thoroughly characterized in terms of the growing rate of the domain and the degree of model misspecification/complexity.

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• Covariance parameter estimation of Gaussian processes with approximated functional inputs
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