Spectral-norm risk rates for multi-taper estimation of Gaussian processes

José Luis Romero and Michael Speckbacher

Journal of Nonparametric Statistics, 2022, vol. 34, issue 2, 448-464

Abstract: We consider the estimation of the covariance of a stationary Gaussian process on a multi-dimensional grid from observations taken on a general acquisition domain. We derive spectral-norm risk rates for multi-taper estimators. When applied to one-dimensional acquisition intervals, these show that Thomson's classical multi-taper has optimal risk rates, as they match known benchmarks. We also extend existing lower risk bounds to multi-dimensional grids and conclude that multi-taper estimators associated with certain two-dimensional acquisition domains also have almost optimal risk rates.

Date: 2022
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DOI: 10.1080/10485252.2022.2071888

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