Adaptive Non-parametric Estimation of Mean and Autocovariance in Regression with Dependent Errors

Abstract

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. Our 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 that accompanies the paper.