On asymptotically efficient statistical inference on a signal parameter

DOI10.1007/S10958-015-2300-1zbMATH Open1337.62231arXiv1308.6443OpenAlexW2058563786MaRDI QIDQ906767FDOQ906767

Authors: Mikhail Sergeevich Ermakov 

Publication date: 29 January 2016

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Abstract: We consider the problems of confidence estimation and hypothesis testing on a parameter of signal observed in Gaussian white noise. For these problems we point out lower bounds of asymptotic efficiency in the zone of moderate deviation probabilities. These lower bounds are versions of local asymptotic minimax Hajek-Le Cam lower bound in estimation and the lower bound for Pitman efficiency in hypothesis testing. The lower bounds were obtained for both logarithmic and sharp asymptotic of moderate deviation probabilities.

Full work available at URL: https://arxiv.org/abs/1308.6443

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Mathematics Subject Classification ID

Large deviations (60F10) Parametric tolerance and confidence regions (62F25) Non-Markovian processes: estimation (62M09) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Non-Markovian processes: hypothesis testing (62M07) Information theory (general) (94A15)

Cites Work

• Equivalence theory for density estimation, Poisson processes and Gaussian white noise with drift
• The sharp lower bound of asymptotic efficiency of estimators in the zone of moderate deviation probabilities
• Asymptotic equivalence of spectral density estimation and Gaussian white noise
• Moderate deviations and hypothesis testing for signal detection problem
• Intermediate efficiency, theory and examples
• On Asymptotically Efficient Statistical Inference for Moderate Deviation Probabilities
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• Asymptotic Efficiency of the Maximum Likelihood Estimator

Cited In (6)

• Efficient ascertainment schemes for maximum likelihood estimation
• Asymptotically efficient recursive estimation of a nonparametric signal
• On Asymptotically Efficient Statistical Inference for Moderate Deviation Probabilities
• Title not available (Why is that?)
• The sharp lower bound of asymptotic efficiency of estimators in the zone of moderate deviation probabilities
• Efficient parametric estimation for a signal-plus-noise Gaussian model from discrete time observations

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