Nonparametric asymptotically efficient estimation of a signal in the nonlinear case

asymptotic efficiency asymptotic minimaxity asymptotic sufficiency communication consistency constructive procedures Cramér-Rao bound likelihood equation phase locked loop phase-modulated signal white Gaussian noise

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Nonparametric estimation (62G05) Inference from stochastic processes and prediction (62M20) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

Review text

The statistical problem of estimating an unknown function a(t) from the observation of the process \(y(t)=A S(t,a(t))+n(t)\) without prior information about a(t) is considered. Here, S(t,x) is a nonlinear function and n(t) is white Gaussian noise. A Cramér-Rao bound for estimating a(t) is obtained and two procedures are presented to produce nonparametric estimators on the basis of the likelihood equation in a function space. Consistency, asymptotic efficiency, asymptotic minimaxity and asymptotic sufficiency of the estimator are investigated. This article is a slight revision of the author's Ph D thesis in Mathematics at the Northeastern University under the supervision of Sam Gutmann.

Recommendations

Cites work

Cited in

(22)

This page was built for publication: Nonparametric asymptotically efficient estimation of a signal in the nonlinear case

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q792728)