Efficient Estimation of Dynamical systems

The aim of this paper is to show a simple way to construct asymptotic minimax lower bounds for risks based on different types of quadratic loss functions in semiparametric inference problems. For the sake of clarity, we consider the simple case of the state estimation of a dynamical system with small noise. The proofs are based on the van Trees inequality, namely an integral type Cramer-Rao inequality.

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Year of publication:	1999-01-01
Authors:	Iacus, Stefano
Institutions:	Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Università degli Studi di Milano
Subject:	dynamical systems \| diffusion process \| semiparametric estimation

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Extent:	application/pdf
Series:	Departmental Working Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005007162