Adaptive estimation of stationary Gaussian fields
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Publication:973870
DOI10.1214/09-AOS751zbMATH Open1189.62157arXiv0901.2212MaRDI QIDQ973870FDOQ973870
Authors: Nicolas Verzelen 
Publication date: 26 May 2010
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: We study the nonparametric covariance estimation of a stationary Gaussian field X observed on a regular lattice. In the time series setting, some procedures like AIC are proved to achieve optimal model selection among autoregressive models. However, there exists no such equivalent results of adaptivity in a spatial setting. By considering collections of Gaussian Markov random fields (GMRF) as approximation sets for the distribution of X, we introduce a novel model selection procedure for spatial fields. For all neighborhoods m in a given collection M, this procedure first amounts to computing a covariance estimator of X within the GMRFs of neighborhood m. Then, it selects a neighborhood by applying a penalization strategy. The so-defined method satisfies a nonasymptotic oracle type inequality. If X is a GMRF, the procedure is also minimax adaptive to the sparsity of its neighborhood. More generally, the procedure is adaptive to the rate of approximation of the true distribution by GMRFs with growing neighborhoods.
Full work available at URL: https://arxiv.org/abs/0901.2212
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model selectionpseudolikelihoodoracle inequalitiesGaussian fieldGaussian Markov random fieldminimax rate of estimation
Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Inference from spatial processes (62M30) Random fields; image analysis (62M40)
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Cited In (8)
- Adaptive finite‐dimensional optimal linear filtering of nD smooth Gaussian random fields
- Detecting Markov random fields hidden in white noise
- A kriging procedure for processes indexed by graphs
- Adaptive method for indirect identification of the statistical properties of random fields in a Bayesian framework
- Long memory conditional random fields on regular lattices
- Data-driven neighborhood selection of a Gaussian field
- Parametric estimation for Gaussian fields indexed by graphs
- Estimation adaptative de la densité spectrale d'un processus gaussien faiblement ou fortement dépendant
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