A comparison of generalized cross validation and modified maximum likelihood for estimating the parameters of a stochastic process
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Publication:811076
DOI10.1214/aos/1176347743zbMath0734.62091MaRDI QIDQ811076
Publication date: 1990
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176347743
kriging; Brownian motion; asymptotic variance; generalized cross validation; asymptotically normal; higher order smoothing splines; linear smoothing spline with equally spaced observations; modified maximum likelihood estimate
62M20: Inference from stochastic processes and prediction
62G07: Density estimation
60G15: Gaussian processes
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