Efficient parametric estimation for a signal-plus-noise Gaussian model from discrete time observations

DOI10.1007/S11203-020-09225-1zbMATH Open1469.62335arXiv1903.06447OpenAlexW3047914813MaRDI QIDQ2040939FDOQ2040939

Authors: K. El Waled, Vincent Monsan, D. Dehay 

Publication date: 15 July 2021

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Abstract: This paper deals with the parametric inference for integrated signals embedded in an additive Gaussian noise and observed at deterministic discrete instants which are not necessarily equidistant. The unknown parameter is multidimensional and compounded of a signal-of-interest parameter and a variance parameter of the noise. We state the consistency and the minimax efficiency of the maximum likelihood estimator and of the Bayesian estimator when the time of observation tends to $infty$ and the delays between two consecutive observations tend to 0 or are only bounded. The class of signals in consideration contains among others, almost periodic signals and also non-continuous periodic signals. However the problem of frequency estimation is not considered here.

Full work available at URL: https://arxiv.org/abs/1903.06447

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zbMATH Keywords

maximum likelihood estimationBayesian estimationHellinger distanceasymptotic properties of estimatorsminimax efficiencyhigh frequency samplinglow frequency samplingtriangular Gaussian array

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal detection and filtering (aspects of stochastic processes) (60G35)

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