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Efficient Estimation of Dynamical systems

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Author Info
Stefano Iacus ()

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Abstract

The aim of this paper 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 Cramer-Rao inequality.

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Publisher Info
Paper provided by Department of Economics University of Milan Italy in its series Departemental Working Papers with number 1999-03.

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Date of creation: 01 Jan 1999
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Handle: RePEc:mil:wpdepa:1999-03

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Related research
Keywords: dynamical systems; diffusion process; semiparametric estimation;

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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:
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  1. Giuseppe Bognetti, 1999. "Nuove forme di gestione dei servizi pubblici," Departemental Working Papers 1999-04, Department of Economics University of Milan Italy. [Downloadable!]
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This page was last updated on 2009-12-18.

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