Recovering decay rates from noisy measurements with maximum entropy in the mean

DOI10.1155/2009/563281MaRDI QIDQ609679zbMATH OpenOpenAlexWikidataFDO

Authors Henryk Gzyl, Enrique ter Horst

Publication date 1 December 2010

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://eudml.org/doc/225431

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Point estimation (62F10) Bayesian inference (62F15)

Review text

Summary: We present a new method, based on the method of maximum entropy in the mean, which builds upon the standard method of maximum entropy, to improve the parametric estimation of a decay rate when the measurements are corrupted by large level of noise and, more importantly, when the number of measurements is small. The method is developed in the context of a concrete example: that of estimation of the parameter in an exponential distribution. We show how to obtain an estimator with the noise filtered out, and using simulated data, we compare the performance of our method with the Bayesian and maximum likelihood approaches.

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Cites work

• scientific article; zbMATH DE number 1350773 (Why is no real title available?)
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Cited in

(1)

• Empty set problem of maximum empirical likelihood methods

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