Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Estimation of Low-Rank Covariance Function   We consider the problem of estimating a low rank covariance function $K(t,u)$
of a Gaussian process $S(t), t\in [0,1]$ based on $n$ i.i.d. copies of $S$
observed in a white noise. We suggest a new estimation procedure adapting
simultaneously to the low rank structure and the smoothness of the covariance
function. The new procedure is based on nuclear norm penalization and exhibits
superior performances as compared to the sample covariance function by a
polynomial factor in the sample size $n$. Other results include a minimax lower
bound for estimation of low-rank covariance functions showing that our
procedure is optimal as well as a scheme to estimate the unknown noise variance
of the Gaussian process.

11
The categories of this paper are: hep-lat
17
The categories of this paper are: q-fin
6
The categories of this paper are: astro-ph
23
The categories of this paper are: solv-int
3
The categories of this paper are: physics
7
The categories of this paper are: hep-th
19
The categories of this paper are: eess
33
The categories of this paper are: plasm-ph
9
The categories of this paper are: nlin
30
The categories of this paper are: q-alg
37
The categories of this paper are: supr-con
24
The categories of this paper are: dg-ga
22
The categories of this paper are: chao-dyn
13
The categories of this paper are: quant-ph
15
The categories of this paper are: nucl-ex
0
The categories of this paper are: hep-ph