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Cross-validation estimation of covariance parameters under fixed-domain asymptotics

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  • Bachoc, François
  • Lagnoux, Agnès
  • Nguyen, Thi Mong Ngoc

Abstract

We consider a one-dimensional Gaussian process having exponential covariance function. Under fixed-domain asymptotics, we prove the strong consistency and asymptotic normality of a cross validation estimator of the microergodic covariance parameter. In this setting, Ying (1991) proved the same asymptotic properties for the maximum likelihood estimator. Our proof includes several original or more involved components, compared to that of Ying. Also, while the asymptotic variance of maximum likelihood does not depend on the triangular array of observation points under consideration, that of cross validation does, and is shown to be lower and upper bounded. The lower bound coincides with the asymptotic variance of maximum likelihood. We provide examples of triangular arrays of observation points achieving the lower and upper bounds. We illustrate our asymptotic results with simulations, and provide extensions to the case of an unknown mean function. To our knowledge, this work constitutes the first fixed-domain asymptotic analysis of cross validation.

Suggested Citation

  • Bachoc, François & Lagnoux, Agnès & Nguyen, Thi Mong Ngoc, 2017. "Cross-validation estimation of covariance parameters under fixed-domain asymptotics," Journal of Multivariate Analysis, Elsevier, vol. 160(C), pages 42-67.
    • Handle: RePEc:eee:jmvana:v:160:y:2017:i:c:p:42-67
    DOI: 10.1016/j.jmva.2017.06.003
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    References listed on IDEAS

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    2. Bachoc, François, 2013. "Cross Validation and Maximum Likelihood estimations of hyper-parameters of Gaussian processes with model misspecification," Computational Statistics & Data Analysis, Elsevier, vol. 66(C), pages 55-69.
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    8. Furrer, Reinhard & Bachoc, François & Du, Juan, 2016. "Asymptotic properties of multivariate tapering for estimation and prediction," Journal of Multivariate Analysis, Elsevier, vol. 149(C), pages 177-191.
    9. Bachoc, François, 2014. "Asymptotic analysis of the role of spatial sampling for covariance parameter estimation of Gaussian processes," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 1-35.
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    Cited by:

    1. Jack P. C. Kleijnen & Wim C. M. van Beers, 2022. "Statistical Tests for Cross-Validation of Kriging Models," INFORMS Journal on Computing, INFORMS, vol. 34(1), pages 607-621, January.
    2. Marrel, Amandine & Iooss, Bertrand, 2024. "Probabilistic surrogate modeling by Gaussian process: A review on recent insights in estimation and validation," Reliability Engineering and System Safety, Elsevier, vol. 247(C).
    3. Bachoc, François & Bevilacqua, Moreno & Velandia, Daira, 2019. "Composite likelihood estimation for a Gaussian process under fixed domain asymptotics," Journal of Multivariate Analysis, Elsevier, vol. 174(C).

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