A comparison of generalized cross validation and modified maximum likelihood for estimating the parameters of a stochastic process

DOI10.1214/aos/1176347743zbMath0734.62091OpenAlexW1976486409MaRDI QIDQ811076

Michael L. Stein

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

zbMATH Keywords

krigingBrownian motionasymptotic variancegeneralized cross validationasymptotically normalhigher order smoothing splineslinear smoothing spline with equally spaced observationsmodified maximum likelihood estimate

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Density estimation (62G07) Gaussian processes (60G15)

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