Corpus ID: 88516117

Semi-parametric estimation of the variogram of a Gaussian process with stationary increments

@article{Azais2018SemiparametricEO,
  title={Semi-parametric estimation of the variogram of a Gaussian process with stationary increments},
  author={J. Azais and F. Bachoc and A. Lagnoux and T. N. M. Nguyen},
  journal={arXiv: Statistics Theory},
  year={2018}
}
  • J. Azais, F. Bachoc, +1 author T. N. M. Nguyen
  • Published 2018
  • Mathematics
  • arXiv: Statistics Theory
  • We consider the semi-parametric estimation of a scale parameter of a one-dimensional Gaussian process with known smoothness. We suggest an estimator based on quadratic variations and on the moment method. We provide asymptotic approximations of the mean and variance of this estimator, together with asymptotic normality results, for a large class of Gaussian processes. We allow for general mean functions and study the aggregation of several estimators based on various variation sequences. In… CONTINUE READING
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