Adaptive estimation of stationary Gaussian fields
Nicolas Verzelen
Source: Ann. Statist. Volume 38, Number 3
(2010), 1363-1402.
Abstract
We study the nonparametric covariance estimation of a stationary Gaussian field X observed on a regular lattice. In the time series setting, some procedures like AIC are proved to achieve optimal model selection among autoregressive models. However, there exists no such equivalent results of adaptivity in a spatial setting. By considering collections of Gaussian Markov random fields (GMRF) as approximation sets for the distribution of X, we introduce a novel model selection procedure for spatial fields. For all neighborhoods m in a given collection , this procedure first amounts to computing a covariance estimator of X within the GMRFs of neighborhood m. Then it selects a neighborhood ̂m by applying a penalization strategy. The so-defined method satisfies a nonasymptotic oracle-type inequality. If X is a GMRF, the procedure is also minimax adaptive to the sparsity of its neighborhood. More generally, the procedure is adaptive to the rate of approximation of the true distribution by GMRFs with growing neighborhoods.
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Keywords: Gaussian field; Gaussian Markov random field; model selection; pseudolikelihood; oracle inequalities; minimax rate of estimation
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Permanent link to this document: http://projecteuclid.org/euclid.aos/1268056620
Digital Object Identifier: doi:10.1214/09-AOS751
Zentralblatt MATH identifier: 05712425
Mathematical Reviews number (MathSciNet): MR2662346
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