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Asymptotic analysis of the role of spatial sampling for covariance parameter estimation of Gaussian processes

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  • Bachoc, François

Abstract

Covariance parameter estimation of Gaussian processes is analyzed in an asymptotic framework. The spatial sampling is a randomly perturbed regular grid and its deviation from the perfect regular grid is controlled by a single scalar regularity parameter. Consistency and asymptotic normality are proved for the Maximum Likelihood and Cross Validation estimators of the covariance parameters. The asymptotic covariance matrices of the covariance parameter estimators are deterministic functions of the regularity parameter. By means of an exhaustive study of the asymptotic covariance matrices, it is shown that the estimation is improved when the regular grid is strongly perturbed. Hence, an asymptotic confirmation is given to the commonly admitted fact that using groups of observation points with small spacing is beneficial to covariance function estimation. Finally, the prediction error, using a consistent estimator of the covariance parameters, is analyzed in detail.

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  • Bachoc, François, 2014. "Asymptotic analysis of the role of spatial sampling for covariance parameter estimation of Gaussian processes," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 1-35.
    • Handle: RePEc:eee:jmvana:v:125:y:2014:i:c:p:1-35
    DOI: 10.1016/j.jmva.2013.11.015
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    References listed on IDEAS

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    1. Bachoc, François, 2013. "Cross Validation and Maximum Likelihood estimations of hyper-parameters of Gaussian processes with model misspecification," Computational Statistics & Data Analysis, Elsevier, vol. 66(C), pages 55-69.
    2. Markus Abt, 1999. "Estimating the Prediction Mean Squared Error in Gaussian Stochastic Processes with Exponential Correlation Structure," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 26(4), pages 563-578, December.
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    6. Ying, Zhiliang, 1991. "Asymptotic properties of a maximum likelihood estimator with data from a Gaussian process," Journal of Multivariate Analysis, Elsevier, vol. 36(2), pages 280-296, February.
    7. S. Lahiri & Kanchan Mukherjee, 2004. "Asymptotic distributions of M-estimators in a spatial regression model under some fixed and stochastic spatial sampling designs," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 56(2), pages 225-250, June.
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    Citations

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    Cited by:

    1. François Bachoc & Emile Contal & Hassan Maatouk & Didier Rullière, 2017. "Gaussian processes for computer experiments," Post-Print hal-01665936, HAL.
    2. Victor De Oliveira & Zifei Han, 2023. "Approximate reference priors for Gaussian random fields," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 50(1), pages 296-326, March.
    3. Victor De Oliveira & Zifei Han, 2022. "On Information About Covariance Parameters in Gaussian Matérn Random Fields," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 27(4), pages 690-712, December.
    4. Bachoc, François & Bevilacqua, Moreno & Velandia, Daira, 2019. "Composite likelihood estimation for a Gaussian process under fixed domain asymptotics," Journal of Multivariate Analysis, Elsevier, vol. 174(C).
    5. Keshavarz, Hossein & Scott, Clayton & Nguyen, XuanLong, 2016. "On the consistency of inversion-free parameter estimation for Gaussian random fields," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 245-266.
    6. Furrer, Reinhard & Bachoc, François & Du, Juan, 2016. "Asymptotic properties of multivariate tapering for estimation and prediction," Journal of Multivariate Analysis, Elsevier, vol. 149(C), pages 177-191.
    7. Bachoc, François & Lagnoux, Agnès & Nguyen, Thi Mong Ngoc, 2017. "Cross-validation estimation of covariance parameters under fixed-domain asymptotics," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 42-67.
    8. Zhang, Bo & Hao, Sixing & Yao, Qiwei, 2023. "Blind Source Separation over Space: an eigenanalysis approach," LSE Research Online Documents on Economics 121093, London School of Economics and Political Science, LSE Library.
    9. Bachoc, François & Genton, Mark G. & Nordhausen, Klaus & Ruiz-Gazen, Anne & Virta, Joni, 2019. "Spatial Blind Source Separation," TSE Working Papers 19-998, Toulouse School of Economics (TSE).

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