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Nonparametric estimation of signal amplitude in white Gaussian noise

✍ Scribed by R. Z. Khasminskii

Book ID
110179795
Publisher
SP MAIK Nauka/Interperiodica
Year
2008
Tongue
English
Weight
324 KB
Volume
44
Category
Article
ISSN
0032-9460

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Maximum likelihood estimation of a nonpa
Maximum likelihood estimation of a nonparametric signal in white noise by optimal control
✍ G.N. Milstein; M. Nussbaum πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 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