Asymptotic properties of a maximum likelihood estimator with data from a Gaussian process

DOI10.1016/0047-259X(91)90062-7zbMATH Open0733.62091MaRDI QIDQ809524FDOQ809524

Authors: Zhiliang Ying 

Publication date: 1991

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

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zbMATH Keywords

asymptotic normalityconsistencyGaussian processOrnstein-Uhlenbeck processregression modelsmaximum likelihood estimatorLangevin equationleast squares estimatorlog-likelihood functionstochastic process modeling of computer experiments

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Non-Markovian processes: estimation (62M09)

Cites Work

• Asymptotically efficient prediction of a random field with a missspecified covariance function
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Cited In (53)

• Fixed-Domain Posterior Contraction Rates for Spatial Gaussian Process Model with Nugget
• Gaussian likelihood inference on data from trans-Gaussian random fields with Matérn covariance function
• On estimation and prediction of geostatistical regression models via a corrected Stein's unbiased risk estimator
• A stabilized and versatile spatial prediction method for geostatistical models
• On fixed-domain asymptotics and covariance tapering in Gaussian random field models
• Optimal change point detection in Gaussian processes
• On Prediction Properties of Kriging: Uniform Error Bounds and Robustness
• Properties and comparison of some kriging sub-model aggregation methods
• Constructing Priors that Penalize the Complexity of Gaussian Random Fields
• Fixed-domain asymptotics of the maximum likelihood estimator and the Gaussian process approach for deterministic models
• Tail estimation of the spectral density for a stationary Gaussian random field
• Asymptotic Analysis of Maximum Likelihood Estimation of Covariance Parameters for Gaussian Processes: An Introduction with Proofs
• Asymptotic properties of the maximum likelihood and cross validation estimators for transformed Gaussian processes
• Fixed-domain asymptotics for a subclass of Matérn-type Gaussian random fields
• Fisher information and maximum-likelihood estimation of covariance parameters in Gaussian stochastic processes
• Maximum likelihood estimation for Gaussian processes under inequality constraints
• Large sample properties of ML estimator of the parameters of multivariate O-U random fields
• Maximum likelihood estimation for Gaussian process with nonlinear drift
• Asymptotic theory with hierarchical autocorrelation: Ornstein-Uhlenbeck tree models
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Asymptotic Bounds for Smoothness Parameter Estimates in Gaussian Process Interpolation
• ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
• On the inference of applying Gaussian process modeling to a deterministic function
• A least squares estimator for Lévy-driven moving averages based on discrete time observations
• Maximum likelihood estimation and uncertainty quantification for Gaussian process approximation of deterministic functions
• On the consistency of inversion-free parameter estimation for Gaussian random fields
• Consistency of empirical Bayes and kernel flow for hierarchical parameter estimation
• Exact maximum likelihood for incomplete data from a correlated gaussian process
• Bayesian fixed-domain asymptotics for covariance parameters in a Gaussian process model
• Fixed-domain asymptotic properties of maximum composite likelihood estimators for Gaussian processes
• Gaussian processes with input location error and applications to the composite parts assembly process
• Parameter Selection in Gaussian Process Interpolation: An Empirical Study of Selection Criteria
• On the consistent separation of scale and variance for Gaussian random fields
• Asymptotic inference for spatial autoregression and orthogonality of Ornstein-Uhlenbeck sheets
• Maximum likelihood estimation for a bivariate Gaussian process under fixed domain asymptotics
• Asymptotic behavior of the likelihood function of covariance matrices of spatial Gaussian processes
• On the maximum likelihood training of gradient-enhanced spatial Gaussian processes
• Spatial sampling design for parameter estimation of the covariance function
• Cross-validation estimation of covariance parameters under fixed-domain asymptotics
• An example of inconsistent MLE of spatial covariance parameters under increasing domain asymptotics
• Asymptotic theory of generalized information criterion for geostatistical regression model selection
• Local inversion-free estimation of spatial Gaussian processes
• Asymptotic analysis of ML-covariance parameter estimators based on covariance approximations
• Cross validation and maximum likelihood estimations of hyper-parameters of Gaussian processes with model misspecification
• Stochastic approximation of score functions for Gaussian processes
• Asymptotic analysis of the role of spatial sampling for covariance parameter estimation of Gaussian processes
• Estimating structured correlation matrices in smooth Gaussian random field models.
• Fixed-domain asymptotic properties of tapered maximum likelihood estimators
• Composite likelihood estimation for a Gaussian process under fixed domain asymptotics
• The modified Matérn process
• Gaussian processes for computer experiments
• Spectral methods in spatial statistics
• Model selection with misspecified spatial covariance structure

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