Volume 18, 2014
|Page(s)||251 - 264|
|Published online||25 July 2014|
Unbiased risk estimation method for covariance estimation
Received: 7 June 2012
Revised: 7 December 2012
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.
Mathematics Subject Classification: 62G05
Key words: Covariance estimation / model selection / U.R.E. method
© EDP Sciences, SMAI, 2014
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