Asymptotic Distributions of Minimum Norm Quadratic Estimators of the Covariance Function of a Gaussian Random Field
Stein, Michael
Ann. Statist., Tome 17 (1989) no. 1, p. 980-1000 / Harvested from Project Euclid
Consider a continuous Gaussian random field $z(x)$ defined on a compact set $R \subset \mathbb{R}^d$ with covariance function of the form $\operatorname{cov}(z(x), z(x')) = \sum^k_{i = 1}\theta_iK_i(x,x')$, where the $K_i$'s are specified and $\theta = (\theta_1, \ldots, \theta_k)'$ is to be estimated. Let $\{x_l\}^\infty_{l = 1}$ be a sequence of distinct points in $R$. Based on $z(x_1), \ldots, z(x_N)$, minimum norm quadratic estimation can be used to estimate $\theta$. Suppose $K_1, \ldots, K_k$ are compatible covariance functions on $R$, which means that the Gaussian measures with means zero and covariance functions $K_1, \ldots, K_k$ are mutually absolutely continuous. Then, as the number of observations $N$ increases, the minimum norm quadratic estimator of $\sum^k_{i = 1}\theta_i$ is asymptotically normal with variance of order $N^{-1}$. The minimum norm quadratic estimator of any other linear combination of the $\theta_i$'s converges (in $L^2$) to some nondegenerate random variable. This limit is the same for any two dense sequence of points in $R$. Thus, a definition of a minimum norm quadratic estimator of $\theta$ when $z(\cdot)$ is observed everywhere in $R$ is obtained.
Publié le : 1989-09-14
Classification:  Equivalence of Gaussian measures,  kriging,  geostatistics,  62M20,  60G30,  60G60
@article{1176347252,
     author = {Stein, Michael},
     title = {Asymptotic Distributions of Minimum Norm Quadratic Estimators of the Covariance Function of a Gaussian Random Field},
     journal = {Ann. Statist.},
     volume = {17},
     number = {1},
     year = {1989},
     pages = { 980-1000},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176347252}
}
Stein, Michael. Asymptotic Distributions of Minimum Norm Quadratic Estimators of the Covariance Function of a Gaussian Random Field. Ann. Statist., Tome 17 (1989) no. 1, pp.  980-1000. http://gdmltest.u-ga.fr/item/1176347252/