# Unbiased risk estimation method for covariance estimation

Hélène Lescornel; Jean-Michel Loubes; Claudie Chabriac

ESAIM: Probability and Statistics (2014)

- Volume: 18, page 251-264
- ISSN: 1292-8100

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topLescornel, Hélène, Loubes, Jean-Michel, and Chabriac, Claudie. "Unbiased risk estimation method for covariance estimation." ESAIM: Probability and Statistics 18 (2014): 251-264. <http://eudml.org/doc/274370>.

@article{Lescornel2014,

abstract = {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.},

author = {Lescornel, Hélène, Loubes, Jean-Michel, Chabriac, Claudie},

journal = {ESAIM: Probability and Statistics},

keywords = {covariance estimation; model selection; U.R.E. method},

language = {eng},

pages = {251-264},

publisher = {EDP-Sciences},

title = {Unbiased risk estimation method for covariance estimation},

url = {http://eudml.org/doc/274370},

volume = {18},

year = {2014},

}

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

PB - EDP-Sciences

VL - 18

SP - 251

EP - 264

AB - 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.

LA - eng

KW - covariance estimation; model selection; U.R.E. method

UR - http://eudml.org/doc/274370

ER -

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