Unbiased risk estimation method for covariance estimation

DOI10.1051/PS/2013034MaRDI QIDQ5174353zbMATH OpenOpenAlexFDO

Authors Hélène Lescornel, Claudie Chabriac, Jean-Michel Loubes

Publication date 17 February 2015

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1112.4735, https://www.esaim-ps.org/10.1051/ps/2013034/pdf

zbMATH Keywords

covariance estimationmodel selectionU.R.E. method

Mathematics Subject Classification ID

Nonparametric estimation (62G05)

Abstract: We consider a model selection estimator of the covariance of a random process. Using the Unbiased Risk Estimation (URE) method, we build an estimator of the risk which allows to select an estimator in a collection of model. Then, we present an oracle inequality which ensures that the risk of the selected estimator is close to the risk of the oracle. Simulations show the efficiency of this methodology.

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(5)

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• Adjusting covariance matrix for risk management
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