Regularity of gaussian processes
نویسندگان
چکیده
منابع مشابه
On Estimation of Regularity for Gaussian Processes
We consider a real Gaussian process X with unknown smoothness r0 where r0 is a nonnegative integer and the mean-square derivative X (r0) is supposed to be locally stationary of index β0. From n + 1 equidistant observations, we propose and study an estimator of (r0, β0) based on results for quadratic variations of the underlying process. Various numerical studies of these estimators derive their...
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ژورنال
عنوان ژورنال: Acta Mathematica
سال: 1987
ISSN: 0001-5962
DOI: 10.1007/bf02392556