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On Necessary Conditions for Efficient Estimation of Functionals of a Nonparametric Signal in White Noise

โœ Scribed by Nemirovskii, A. S.


Book ID
118225148
Publisher
Society for Industrial and Applied Mathematics
Year
1991
Tongue
English
Weight
773 KB
Volume
35
Category
Article
ISSN
0040-585X

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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