Spectral-norm risk rates for multi-taper estimation of Gaussian processes

Abstract

We consider the estimation of the covariance of a stationary Gaussian process on a multi-dimensional grid from observations taken on a general acquisition domain. We derive spectral-norm risk rates for multi-taper estimators. When applied to one dimensional acquisition intervals, these show that Thomson's classical multi-taper has optimal risk rates, as they match known benchmarks. We also extend existing lower risk bounds to multi-dimensional grids and conclude that multi-taper estimators associated with certain two-dimensional acquisition domains also have almost optimal risk rates.