Asymptotic Analysis of Maximum Likelihood Estimation of Covariance Parameters for Gaussian Processes: An Introduction with Proofs

DOI10.1007/978-3-030-73249-3_15MaRDI QIDQ5871001zbMATH OpenOpenAlexFDO

Authors François Bachoc

Publication date 24 January 2023

Published in Advances in Contemporary Statistics and Econometrics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.07002

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cited in

(11)

• Asymptotic properties of the maximum likelihood and cross validation estimators for transformed Gaussian processes
• Covariance Structure Maximum-Likelihood Estimates in Compound Gaussian Noise: Existence and Algorithm Analysis
• Fixed-domain asymptotics of the maximum likelihood estimator and the Gaussian process approach for deterministic models
• Nonparametric estimation of isotropic covariance function
• Bounds in \(L^1\) Wasserstein distance on the normal approximation of general M-estimators
• Asymptotic analysis of ML-covariance parameter estimators based on covariance approximations
• Asymptotic analysis of maximum likelihood estimation of covariance parameters for Gaussian processes: an introduction with proofs
• Extending the generalized Wendland covariance model
• Covariance parameter estimation of Gaussian processes with approximated functional inputs
• An asymptotic study of the joint maximum likelihood estimation of the regularity and the amplitude parameters of a periodized Matérn model
• Asymptotic properties of a maximum likelihood estimator with data from a Gaussian process

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