A Locally Correlated Process and Its Applications in Bayesian Estimation

✍ Scribed by G. Liu

• Publisher: Elsevier Science
• Year: 1994
• Tongue: English
• Weight: 650 KB
• Volume: 49
• Category: Article
• ISSN: 0047-259X
• DOI: 10.1006/jmva.1994.1018

✦ Synopsis

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. 1994 Academic Press, Jnc.