Examinando por Autor "Serra, Paulo"

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    Joint non-parametric estimation of mean and auto-covariances for Gaussian processes
    (Elsevier, 2022-05-05) Krivobokova, Tatyana; Serra, Paulo; Rosales, Francisco; Klockmann, Karolina
    Gaussian processes that can be decomposed into a smooth mean function and a stationary autocorrelated noise process are considered and a fully automatic nonparametric method to simultaneous estimation of mean and auto-covariance functions of such processes is developed. The proposed empirical Bayes approach is data-driven, numerically efficient, and allows for the construction of confidence sets for the mean function. Performance is demonstrated in simulations and real data analysis. The method is implemented in the R package eBsc.