On estimation of time dependent spatial signal in Gaussian white noise

We consider an estimation problem for time dependent spatial signal observed in a presence of additive cylindrical Gaussian white noise of a small intensity [var epsilon]. Under known a priori smoothness of the signal estimators with asymptotically the best in the mimimax sense risk convergence rate in [var epsilon] to zero are proposed. Moreover, on-line estimators for the signal and its derivatives in t are also created.

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Year of publication:	2001
Authors:	Chow, P. -L. ; Khasminskii, R. ; Liptser, R.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 96.2001, 1, p. 161-175
Publisher:	Elsevier
Keywords:	Gaussian random measure Kernel estimator Projection estimator On-line estimator

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

Persistent link: https://www.econbiz.de/10008873941