Unbiased risk estimation method for covariance estimation

Details Unbiased risk estimation method for covariance estimation Unbiased risk estimation method for covariance estimation

2011-12-20

arxiv.org/abs/1112.4735v1

Mathematics

Statistics Theory

Scientific paper

We consider a model selection estimator of the covariance of a random process. Using the Unbiased Risk Estimation (URE) method, we build an estimator of the risk which allows to select an estimator in a collection of model. 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.

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