Examinando por Autor "Tatyana Krivobokova"

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Joint non-parametric estimation of mean and auto-covariances for Gaussian processes
(2022-09-30) Tatyana Krivobokova; Paulo Serra; Francisco Rosales; Karolina Klockmann
Gaussian processes that can be decomposed into a smooth mean function and a stationary autocorrelated noise process are considered and a fully automatic nonparametric method to simultaneous estimation of mean and auto-covariance functions of such processes is developed. The proposed empirical Bayes approach is data-driven, numerically efficient, and allows for the construction of confidence sets for the mean function. Performance is demonstrated in simulations and real data analysis. The method is implemented in the R package eBsc.