Some Practical Problems in Implementing a Certain Sieve Estimator of the Gaussian Mean Function
- 1 January 1989
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Simulation and Computation
- Vol. 18 (2) , 481-500
- https://doi.org/10.1080/03610918908812772
Abstract
Two problems in the practical implementation of a certain sieve estimator of the Gaussian process mean are discussed and illustrated via Monte Carlo experiments. The problems are: (1) introduction of extra error due to the necessity of estimating certain stochastic integrals; (2) the value of the sieve index.Keywords
This publication has 2 references indexed in Scilit:
- A Sieve Estimator for the Mean of a Gaussian ProcessThe Annals of Statistics, 1987
- Random Designs for Estimating Integrals of Stochastic ProcessesThe Annals of Statistics, 1982