 Asymptotic Analysis of Maximum Likelihood Estimation of Covariance Parameters for Gaussian Processes: An Introduction with ProofsFrançois Bachoc ()
A chapter in Advances in Contemporary Statistics and Econometrics, 2021, pp 283-303 from Springer Abstract: Abstract This article provides an introduction to the asymptotic analysis of covariance parameter estimation for Gaussian processes. Maximum likelihood estimation is considered. The aim of this introduction is to be accessible to a wide audience and to present some existing results and proof techniques from the literature. The increasing-domain and fixed-domain asymptotic settings are considered. Under increasing-domain asymptotics, it is shown that in general all the components of the covariance parameter can be estimated consistently by maximum likelihood and that asymptotic normality holds. In contrast, under fixed-domain asymptotics, only some components of the covariance parameter, constituting the microergodic parameter, can be estimated consistently. Under fixed-domain asymptotics, the special case of the family of isotropic Matérn covariance functions is considered. It is shown that only a combination of the variance and spatial scale parameter is microergodic. A consistency and asymptotic normality proof is sketched for maximum likelihood estimators. Date: 2021 There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-73249-3_15 Ordering information: This item can be ordered from DOI: 10.1007/978-3-030-73249-3_15 Access Statistics for this chapter More chapters in Springer Books from Springer |
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