Efficient Estimation of Dynamical Systems

The aim of this paper is to show a simple way to construct a symptotic 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:	2004
Authors:	Iacus, Stefano Maria
Publisher:	[S.l.] : SSRN
Subject:	Schätztheorie \| Estimation theory \| Dynamische Wirtschaftstheorie \| Economic dynamics \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Risiko \| Risk

Extent:	1 Online-Ressource (19 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Studies in Nonlinear Dynamics and Econometrics, Vol. 4, No. 4, pp. 213-226, 2001
Classification:	C22 - Time-Series Models ; C24 - Truncated and Censored Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014068507