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scientific article; zbMATH DE number 177229
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scientific article; zbMATH DE number 177229 |
Statements
18 May 1993
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white Gaussian noise
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risk
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nuissance parameter
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exact bounds
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standard Wiener process
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minimax theory of adaptive estimation
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classification of statistical models
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accuracy of estimation
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0.8548189997673035
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0.8130673170089722
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0.812456488609314
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The author considers a stochastic process \(X_ \varepsilon(\cdot)\) on \([0,1]\) satisfying the equation: \(dX_ \varepsilon(t)= \sigma(t)dt+ db(t)\), where \(b(\cdot)\) is the standard Wiener process and \(\sigma(\cdot)\) an unknown deterministic function. The minimax theory of adaptive estimation of the mapping \(G(\sigma(\cdot))\), based on observations of a sample path \(X_ \varepsilon(t)\), is developed. A classification of statistical models from the point of view of adaptive estimation is provided. Exact bounds on the accuracy of estimation for the considered models are given. For the entire collection see [Zbl 0754.00005].
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