Maximum a posteriori estimation of elliptic Gaussian fields observed via a noisy nonlinear channel

An extension of the "prior density for path" (Onsager-Machlup functional) is defined and shown to exist for Gaussian fields generated by solutions of elliptic PDEs driven by white noise. This functional is then used to define and solve the MAP estimation of such fields observed via nonlinear sensors. Existence results and a representation of the estimator are derived for this model.

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Year of publication:	1990
Authors:	Dembo, Amir ; Zeitouni, Ofer
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 35.1990, 2, p. 151-167
Publisher:	Elsevier
Keywords:	Onsager-Machlup stochastic PDE random fields MAP estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005106984