Estimation After Parameter Selection: Performance Analysis and Estimation Methods

DOI10.1109/TSP.2016.2580533MaRDI QIDQ4620981zbMATH OpenFDO

Authors Tirza Routtenberg, Lang Tong

Publication date 8 February 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1503.02045

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: In many practical parameter estimation problems, prescreening and parameter selection are performed prior to estimation. In this paper, we consider the problem of estimating a preselected unknown deterministic parameter chosen from a parameter set based on observations according to a predetermined selection rule, $Psi$. The data-based parameter selection process may impact the subsequent estimation by introducing a selection bias and creating coupling between decoupled parameters. This paper introduces a post-selection mean squared error (PSMSE) criterion as a performance measure. A corresponding Cram'er-Rao-type bound on the PSMSE of any $Psi$-unbiased estimator is derived, where the $Psi$-unbiasedness is in the Lehmann-unbiasedness sense. The post-selection maximum-likelihood (PSML) estimator is presented .It is proved that if there exists an $Psi$-unbiased estimator that achieves the $Psi$-Cram'er-Rao bound (CRB), i.e. an $Psi$-efficient estimator, then it is produced by the PSML estimator. In addition, iterative methods are developed for the practical implementation of the PSML estimator. Finally, the proposed $Psi$-CRB and PSML estimator are examined in estimation after parameter selection with different distributions.

Cited in

(1)

• Estimation of selected parameters

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