Gaussian stationary processes over graphs, general frame and maximum likelihood identification

Thibault Espinasse (1) , Fabrice Gamboa (1) , Jean-Michel Loubes (1)

1 IMT - Institut de Mathématiques de Toulouse UMR5219

In this paper, using spectral theory of Hilbertian operators, we study ARMA Gaussian processes indexed by graphs. We extend Whittle maximum likelihood estimation of the parameters for the corresponding spectral density and show their asymptotic optimality.

Mots clés: Stochastic processes; Graphs; Gaussian fields

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Thibault Espinasse, Fabrice Gamboa, Jean-Michel Loubes. Gaussian stationary processes over graphs, general frame and maximum likelihood identification. 2012. ⟨hal-00586905v3⟩