The Annals of Statistics

Uniform Asymptotic Optimality of Linear Predictions of a Random Field Using an Incorrect Second-Order Structure

Michael Stein

Full-text: Open access

Abstract

For a random field $z(t)$ defined for $t \in R \subseteq \mathbb{R}^d$ with specified second-order structure (mean function $m$ and covariance function $K$), optimal linear prediction based on a finite number of observations is a straightforward procedure. Suppose $(m_0, K_0)$ is the second-order structure used to produce the predictions when in fact $(m_1, K_1)$ is the correct second-order structure and $(m_0, K_0)$ and $(m_1, K_1)$ are "compatible" on $R$. For bounded $R$, as the points of observation become increasingly dense in $R$, predictions based on $(m_0, K_0)$ are shown to be uniformly asymptotically optimal relative to the predictions based on the correct $(m_1, K_1)$. Explicit bounds on this rate of convergence are obtained in some special cases in which $K_0 = K_1$. A necessary and sufficient condition for the consistency of best linear unbiased predictors is obtained, and the asymptotic optimality of these predictors is demonstrated under a compatibility condition on the mean structure.

Article information

Source
Ann. Statist., Volume 18, Number 2 (1990), 850-872.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
https://projecteuclid.org/euclid.aos/1176347629

Digital Object Identifier
doi:10.1214/aos/1176347629

Mathematical Reviews number (MathSciNet)
MR1056340

Zentralblatt MATH identifier
0716.62099

JSTOR
links.jstor.org

Subjects
Primary: 62M20: Prediction [See also 60G25]; filtering [See also 60G35, 93E10, 93E11]
Secondary: 41A25: Rate of convergence, degree of approximation 60G60: Random fields

Keywords
Kriging spatial statistics approximation in Hilbert spaces

Citation

Stein, Michael. Uniform Asymptotic Optimality of Linear Predictions of a Random Field Using an Incorrect Second-Order Structure. Ann. Statist. 18 (1990), no. 2, 850--872. doi:10.1214/aos/1176347629. https://projecteuclid.org/euclid.aos/1176347629


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