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A Locally Correlated Process and Its Applications in Bayesian Estimation

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  • Liu, G.

Abstract

A class of local correlation functions is obtained from B-spline bases and the corresponding stationary processes are constructed through local integration. Then a local Bayes estimate (LBE) is proposed using this process as a prior in a signal estimation problem. Mean square convergence of this LBE is given as for the case of kriging when the correlation is correctly specified. Moreover, a local convergence is obtained regardless of correct specification of the correlation functions. Finally, some comparisons are conducted to show the outperformance of the LBE to the other methods.

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  • Liu, G., 1994. "A Locally Correlated Process and Its Applications in Bayesian Estimation," Journal of Multivariate Analysis, Elsevier, vol. 49(1), pages 132-149, April.
    • Handle: RePEc:eee:jmvana:v:49:y:1994:i:1:p:132-149
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