Estimating structured correlation matrices in smooth Gaussian random field models

• 成果类型: Article
• 署名作者: Loh, WL; Lam, TK
• 署名单位: National University of Singapore; Dell Incorporated; Dell EMC
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• 发表日期: 2000
• 页码: 880-904
• 关键词: maximum-likelihood-estimation; spatial sampling scheme

摘要

This article considers the estimation of structured correlation matrices in infinitely differentiable Gaussian random field models. The problem is essentially motivated by the stochastic modeling of smooth deterministic responses in computer experiments. In particular, the log-likelihood function is determined explicitly in closed-form and the sieve maximum likelihood estimators are shown to be strongly consistent under mild conditions.