Mihai, Giurcanu; Vladimir, Spokoiny - In: Statistics & Risk Modeling 22 (2004) 4/2004, pp. 283-300
In this note we consider the problem of confidence estimation of the covariance function of a stationary or locally stationary zero mean Gaussian process. The constructed confidence intervals are based on the usual empirical covariance estimate and a special estimate of its variance. The results...