Estimation of a noisy discrete-time step function: Bayes and empirical Bayes approaches

DOI10.1214/AOS/1176346802zbMATH Open0551.62069OpenAlexW2004255044MaRDI QIDQ800677FDOQ800677

Authors: Yi-Ching Yao 

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

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zbMATH Keywords

smoothingchange pointsempirical Bayesstep functionfilteringadditive Gaussian noisecharacterizationBest linear estimates

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes and prediction (62M20) Empirical decision procedures; empirical Bayes procedures (62C12) Data smoothing in stochastic control theory (93E14)

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