Data-driven neighborhood selection of a Gaussian field
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Publication:962389
DOI10.1016/J.CSDA.2009.12.001zbMATH Open1464.62174arXiv0901.2213OpenAlexW2085781938MaRDI QIDQ962389FDOQ962389
Authors: Nicolas Verzelen 
Publication date: 6 April 2010
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Abstract: We study the nonparametric covariance estimation of a stationary Gaussian field X observed on a lattice. To tackle this issue, a neighborhood selection procedure has been recently introduced. This procedure amounts to selecting a neighborhood m by a penalization method and estimating the covariance of X in the space of Gaussian Markov random fields (GMRFs) with neighborhood m. Such a strategy is shown to satisfy oracle inequalities as well as minimax adaptive properties. However, it suffers several drawbacks which make the method difficult to apply in practice. On the one hand, the penalty depends on some unknown quantities. On the other hand, the procedure is only defined for toroidal lattices. The present contribution is threefold. A data-driven algorithm is proposed for tuning the penalty function. Moreover, the procedure is extended to non-toroidal lattices. Finally, numerical study illustrate the performances of the method on simulated examples. These simulations suggest that Gaussian Markov random field selection is often a good alternative to variogram estimation.
Full work available at URL: https://arxiv.org/abs/0901.2213
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Cited In (5)
- Region selection in Markov random fields: Gaussian case
- A comparison of sampling grids, cut-off distance and type of residuals in parametric variogram estimation
- Adaptive estimation of stationary Gaussian fields
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- Estimation of covariance functions by a fully data-driven model selection procedure and its application to Kriging spatial interpolation of real rainfall data
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