Asymptotically Efficient Prediction of a Random Field with a Misspecified Covariance Function
Stein, Michael L.
Ann. Statist., Tome 16 (1988) no. 1, p. 55-63 / Harvested from Project Euclid
Best linear unbiased predictors of a random field can be obtained if the covariance function of the random field is specified correctly. Consider a random field defined on a bounded region $R$. We wish to predict the random field $z(\cdot)$ at a point $x$ in $R$ based on observations $z(x_1), z(x_2), \ldots, z(x_N)$ in $R$, where $\{x_i\}^\infty_{i = 1}$ has $x$ as a limit point but does not contain $x$. Suppose the covariance function is misspecified, but has an equivalent (mutually absolutely continuous) corresponding Gaussian measure to the true covariance function. Then the predictor of $z(x)$ based on $z(x_1), \ldots, z(x_N)$ will be asymptotically efficient as $N$ tends to infinity.
Publié le : 1988-03-14
Classification:  Kriging,  mutual absolute continuity of Gaussian measures,  62M20,  60G30,  60G60
@article{1176350690,
     author = {Stein, Michael L.},
     title = {Asymptotically Efficient Prediction of a Random Field with a Misspecified Covariance Function},
     journal = {Ann. Statist.},
     volume = {16},
     number = {1},
     year = {1988},
     pages = { 55-63},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176350690}
}
Stein, Michael L. Asymptotically Efficient Prediction of a Random Field with a Misspecified Covariance Function. Ann. Statist., Tome 16 (1988) no. 1, pp.  55-63. http://gdmltest.u-ga.fr/item/1176350690/