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We consider a model selection estimator of the covariance of a random process. Using the Unbiased Risk Estimation (U.R.E.) method, we build an estimator of the risk which allows to select an estimator in a collection of models. Then, we present an oracle inequality which ensures that the risk of the selected estimator is close to the risk of the oracle. Simulations show the efficiency of this methodology.
@article{PS_2014__18__251_0,
author = {Lescornel, H\'el\`ene and Loubes, Jean-Michel and Chabriac, Claudie},
title = {Unbiased risk estimation method for covariance estimation},
journal = {ESAIM: Probability and Statistics},
pages = {251--264},
publisher = {EDP-Sciences},
volume = {18},
year = {2014},
doi = {10.1051/ps/2013034},
language = {en},
url = {http://geodesic.mathdoc.fr/articles/10.1051/ps/2013034/}
}
TY - JOUR AU - Lescornel, Hélène AU - Loubes, Jean-Michel AU - Chabriac, Claudie TI - Unbiased risk estimation method for covariance estimation JO - ESAIM: Probability and Statistics PY - 2014 SP - 251 EP - 264 VL - 18 PB - EDP-Sciences UR - http://geodesic.mathdoc.fr/articles/10.1051/ps/2013034/ DO - 10.1051/ps/2013034 LA - en ID - PS_2014__18__251_0 ER -
%0 Journal Article %A Lescornel, Hélène %A Loubes, Jean-Michel %A Chabriac, Claudie %T Unbiased risk estimation method for covariance estimation %J ESAIM: Probability and Statistics %D 2014 %P 251-264 %V 18 %I EDP-Sciences %U http://geodesic.mathdoc.fr/articles/10.1051/ps/2013034/ %R 10.1051/ps/2013034 %G en %F PS_2014__18__251_0
Lescornel, Hélène; Loubes, Jean-Michel; Chabriac, Claudie. Unbiased risk estimation method for covariance estimation. ESAIM: Probability and Statistics, Tome 18 (2014), pp. 251-264. doi: 10.1051/ps/2013034
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