Nonparametric estimation of functionals of the derivatives of a signal observed in white Gaussian noise

MaRDI QIDQ1124244zbMATH OpenFDO

Authors Arkadi Nemirovski, R. Z. Khas'minskiĭ

Publication date 1988

Published in Problems of Information Transmission (Search for Journal in Brave)

zbMATH Keywords

additive white noisealmost sure convergenceConsistencyestimation of functionalsmean square convergencesmoothnessstrong convergence

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09)

Review text

Suppose that we observe on a finite interval an integral of a signal S through a channel corrupted by an additive white noise. The paper considers the problem of nonparametric estimation of a functional of S and its derivatives. Sufficient conditions for mean square and strong convergence are given. These conditions are shown to be almost necessary. Consistency conditions are expressed in terms of smoothness of the signal and the functional.

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Cited in

(16)

• Renormalization and white noise approximation for nonparametric functional estimation problems
• Tracking of signals and its derivatives in Gaussian white noise
• Differentiation of a signal with bounded variances of derivatives in the presence of noise
• On adaptive estimation of nonlinear functionals
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• On minimax identification of nonparametric autoregressive models
• Identification of a nonparametric signal under strongly dependent random noise
• Estimating a monotone function, being observed in white noise
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