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Efficient Estimation of Dynamical systems

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  • Stefano Iacus

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.

Suggested Citation

  • Stefano Iacus, 1999. "Efficient Estimation of Dynamical systems," Departmental Working Papers 1999-03, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    • Handle: RePEc:mil:wpdepa:1999-03
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    File URL: http://wp.demm.unimi.it/files/wp/1999/DEMM-1999_003wp.pdf
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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.
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    Cited by:

    1. Giuseppe Bognetti, 1999. "Nuove forme di gestione dei servizi pubblici," Departmental Working Papers 1999-04, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.

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