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Efficient Estimation of Dynamical Systems

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Author Info
Stefano Iacus (University of Milan)

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Abstract

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 Cram´er-Rao inequality.

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Publisher Info
Article provided by Berkeley Electronic Press in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 4 (2001)
Issue (Month): 4 ()
Pages: 213-226
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Handle: RePEc:bep:sndecm:4:2001:4:213-226

Note: oai:bepress:snde-1065
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Related research
Keywords: asymptotic efficiency diffusion process dynamical systems integrated mean square error

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References listed on IDEAS
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  1. Stefano Iacus, 2000. "Semiparametric Estimation of the State of a Dynamical System with Small Noise," Statistical Inference for Stochastic Processes, Springer, vol. 3(3), pages 277-288, October. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Silvia Pezzini & Robert MacCulloch, 2003. "The role of freedom, growth and religion in the taste for revolution," Departemental Working Papers 2003-08, Department of Economics University of Milan Italy. [Downloadable!]
    Other versions:
  2. Giuseppe Bognetti & Barbara Antonioli, 2001. "Modelli di offerta dei servizi pubblici locali in Europa," Departemental Working Papers 2001-07, Department of Economics University of Milan Italy. [Downloadable!]
  3. Massimo FLORIO & Silvia VIGNETTI, 2003. "Cost-benefit analysis of infrastructure projects in an enlarged European Union: an incentive-oriented approach," Departemental Working Papers 2003-13, Department of Economics University of Milan Italy. [Downloadable!]
  4. Stefano Iacus, 2001. "Statistical analysis of the inhomogeneous telegrapher's process," Departemental Working Papers 2001-02, Department of Economics University of Milan Italy. [Downloadable!]
  5. Giovanna Nicolini, 2001. "A method to define strata boundaries," Departemental Working Papers 2001-01, Department of Economics University of Milan Italy. [Downloadable!]
  6. Giuseppe Bognetti, 1999. "Nuove forme di gestione dei servizi pubblici," Departemental Working Papers 1999-04, Department of Economics University of Milan Italy. [Downloadable!]
  7. Giovanna Nicolini & Anna Lo Presti, 2003. "Combined estimators for complex sampling," Departemental Working Papers 2003-12, Department of Economics University of Milan Italy. [Downloadable!]
  8. Massimo Florio, 2001. "The welfare impact of a privatisation: the British Telecom case-history," Departemental Working Papers 2001-08, Department of Economics University of Milan Italy. [Downloadable!]
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This page was last updated on 2008-8-3.

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