Abstract
We describe kernel methods for estimating the covariance function of a stationary stochastic process, and show how to ensure that the estimator has the positive semidefiniteness property. From a practical viewpoint, our method is significant because it does not demand a parametric model for covariance. From a technical angle, our results exhibit a striking departure from those in more familiar cases of kernel estimation. For example, in the context of covariance estimation, kernel estimators can have the same convergence rates as maximum likelihood estimators, and can have exceptionally fast convergence rates when employed to estimate variance.
Citation
Peter Hall. Nicholas I. Fisher. Branka Hoffmann. "On the Nonparametric Estimation of Covariance Functions." Ann. Statist. 22 (4) 2115 - 2134, December, 1994. https://doi.org/10.1214/aos/1176325774
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