Estimation of a noisy discrete-time step function: Bayes and empirical Bayes approaches
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Publication:800677
DOI10.1214/aos/1176346802zbMath0551.62069OpenAlexW2004255044MaRDI QIDQ800677
Publication date: 1984
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176346802
smoothingempirical Bayescharacterizationfilteringchange pointsadditive Gaussian noisestep functionBest linear estimates
Inference from stochastic processes and prediction (62M20) Nonparametric estimation (62G05) Data smoothing in stochastic control theory (93E14) Empirical decision procedures; empirical Bayes procedures (62C12)
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