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 Cram´er-Rao inequality.

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Year of publication:	2001
Authors:	Iacus, Stefano Maria
Published in:	Studies in Nonlinear Dynamics & Econometrics. - De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 4.2001, 4
Publisher:	De Gruyter
Subject:	asymptotic efficiency \| diffusion process \| dynamical systems \| integrated mean square error \| quadratic risk \| semiparametric estimation

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.2202/1558-3708.1065 [DOI]
Source:	Other ZBW resources

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014620836