Efficient Estimation of Dynamical Systems

The aim of this article 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 CramÂ´er-Rao inequality.

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Year of publication:	2001
Authors:	Iacus, Stefano
Published in:	Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 4.2001, 4, p. 213-226
Publisher:	Berkeley Electronic Press
Subject:	asymptotic efficiency \| diffusion process \| dynamical systems \| integrated mean square error

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Extent:	application/pdf
Type of publication:	Article
Notes:	oai:bepress:
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005751420