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u.r.e. method

ESAIM: Probability and Statistics (1)

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Unbiased risk estimation method for covariance estimation
Hélène Lescornel, Jean-Michel Loubes, Claudie Chabriac
Journal:

ESAIM: Probability and Statistics / Volume 18 / 2014

Published online by Cambridge University Press:

25 July 2014, pp. 251-264

Print publication:

2014
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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.