Unbiased risk estimation method for covariance estimation

Hélène Lescornel (1) , Jean-Michel Loubes (1) , Claudie Chabriac (1)

1 IMT - Institut de Mathématiques de Toulouse UMR5219

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.

Mots clés: URE method; covariance estimation; model selection; URE method.

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

Hélène Lescornel, Jean-Michel Loubes, Claudie Chabriac. Unbiased risk estimation method for covariance estimation. 2011. ⟨hal-00653892⟩