Semi-parametric second-order efficient estimation of the period of a signal

被引：3

作者：

Castillo, I. ^{[1
]}

机构：

[1] Vrije Univ Amsterdam, Dept Math, NL-1081 HV Amsterdam, Netherlands

来源：

BERNOULLI | 2007年 / 13卷 / 04期

关键词：

exact minimax asymptotics; penalized maximum likelihood; second-order efficiency; semi-parametric estimation; unknown period;

D O I：

10.3150/07-BEJ5077

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper is concerned with the estimation of the period of an unknown periodic function in Gaussian white noise. A class of estimators of the period is constructed by means of a penalized maximum likelihood method. A second-order asymptotic expansion of the risk of these estimators is obtained. Moreover, the minimax problem for the second-order term is studied and an estimator of the preceding class is shown to be second order efficient.

引用

页码：910 / 932

页数：23

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