The completion of covariance kernels
研究如何将部分指定的协方差核从矩形域的子域扩展到整个域，提出规范完备化方法并刻画所有可能完备化，通过图模型解释其结构，并给出估计的收敛速率。
We consider the problem of positive-semidefinite continuation: extending a partially specified covariance kernel from a subdomain Ω of a rectangular domain I×I to a covariance kernel on the entire domain I×I. For a broad class of domains Ω called serrated domains, we are able to present a complete theory. Namely, we demonstrate that a canonical completion always exists and can be explicitly constructed. We characterise all possible completions as suitable perturbations of the canonical completion, and determine necessary and sufficient conditions for a unique completion to exist. We interpret the canonical completion via the graphical model structure it induces on the associated Gaussian process. Furthermore, we show how the estimation of the canonical completion reduces to the solution of a system of linear statistical inverse problems in the space of Hilbert–Schmidt operators, and derive rates of convergence. We conclude by providing extensions of our theory to more general forms of domains, and by demonstrating how our results can be used to construct covariance estimators from sample path fragments of the associated stochastic process. Our results are illustrated numerically by way of a simulation study and a real example.