UNBIASED RISK ESTIMATION METHOD FOR COVARIANCE ESTIMATION

被引：0
|
作者：
Lescornel, Helene [1 ]
Loubes, Jean-Michel [1 ]
Chabriac, Claudie [1 ]
机构：
[1] Inst Math Toulouse, UMR 5219, F-31062 Toulouse 9, France
来源：
ESAIM-PROBABILITY AND STATISTICS | 2014年 / 18卷
关键词：
Covariance estimation; model selection; URE method; NONPARAMETRIC-ESTIMATION;
D O I：
10.1051/ps/2013034
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We consider a model selection estimator of the covariance of a random process. Using the Unbiased Risk Estimation (U.R.E.) method, we build an estimator of the risk which allows to select an estimator in a collection of models. Then, we present an oracle inequality which ensures that the risk of the selected estimator is close to the risk of the oracle. Simulations show the efficiency of this methodology.
引用
收藏
页码：251 / 264
页数：14
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