Efficient estimation of dynamical systems

被引：1
作者：
Iacus, SM [1 ]
机构：
[1] Univ Milan, Fac Polit Sci, Dept Econ, I-20122 Milan, Italy
来源：
STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS | 2000年 / 4卷 / 04期
关键词：
asymptotic efficiency; diffusion process; dynamical systems; integrated mean square error; quadratic risk; semiparametric estimation;
D O I：
10.1162/108118200753392127
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The aim of this article is to show a simple way to construct asymptotic minimax lower bounds for risks based on different types of quadratic loss functions in semiparametric inference problems. For the sake of clarity, we consider the simple case of the state estimation of a dynamical system with small noise. The proofs are based on the van Trees inequality, namely, an integral-type Cramer-Rao inequality.
引用
收藏
页码：213 / 226
页数：14
相关论文
共 31 条
  • [1] APOYAN GT, 1988, PROBABILITY THEORY M, P247
  • [2] Azencott R., 1982, LECT NOTES MATH, V921, P237, DOI DOI 10.1007/BFB0092653)
  • [3] Bibby B., 1996, THEORY STOCHASTIC PR, V2, P49
  • [4] Bickel Peter J, 1993, Efficient and adaptive estimation for semiparametric models, V4
  • [5] BICKEL PJ, 1990, ANN STAT, V2, P925
  • [6] SOME CLASSES OF GLOBAL CRAMER-RAO BOUNDS
    BOBROVSKY, BZ
    MAYERWOLF, E
    ZAKAI, M
    [J]. ANNALS OF STATISTICS, 1987, 15 (04) : 1421 - 1438
  • [7] Borovkov A. A., 1980, PROBAB MATH STAT-POL, V1, P185
  • [8] BOROVKOV AA, 1984, MATH STAT
  • [9] Freidlin M I, 2012, Fundamental Principles of Mathematical Sciences, V260
  • [10] Freidlin MI., 1996, MARKOV PROCESSES DIF
1234