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Estimation of the maximum value of a signal in Gaussian white noise

โœ Scribed by I. A. Ibragimov; R. Z. Khas'minskii

Publisher
SP MAIK Nauka/Interperiodica
Year
1982
Tongue
English
Weight
325 KB
Volume
32
Category
Article
ISSN
0001-4346

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Maximum likelihood estimation of a nonpa
Maximum likelihood estimation of a nonparametric signal in white noise by optimal control
โœ G.N. Milstein; M. Nussbaum ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 115 KB

We study extremal problems related to nonparametric maximum likelihood estimation (MLE) of a signal in white noise. The aim is to reduce these to standard problems of optimal control which can be solved by iterative procedures. This reduction requires a preliminary data smoothing; stability theorems