We consider a real Gaussian process X with unknown smoothness r0 ∈ N0 where the mean-square derivative X(r0) is supposed to be Hölder continuous in quadratic mean. First from selected sampled observations, we study reconstruction of X(t), t ∈ [0, 1] with X̃r(t), a piecewise polynomial interpolation of degree r ≥ 1. We show that the mean-square error of the… (More)
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