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Autor: I. A. Ibragimov
ISBN-13: 9780387905235
Einband: Buch
Seiten: 403
Gewicht: 750 g
Sprache: Englisch
Erscheinungsdatum: 12.07.1981

Statistical Estimation

.16, Stochastic Modelling and Applied Probability
Asymptotic Theory
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99
Basic Notation.- The Problem of Statistical Estimation.- Local Asymptotic Normality of Families of Distributions.- Properties of Estimators in the Regular Case.- Some Applications to Nonparametric Estimation.- Independent Identically Distributed Observations. Densities with Jumps.- Independent Identically Distributed Observations. Classification of Singularities.- Several Estimation Problems in a Gaussian White Noise.
when certain parameters in the problem tend to limiting values (for example, when the sample size increases indefinitely, the intensity of the noise ap proaches zero, etc.) To address the problem of asymptotically optimal estimators consider the following important case. Let X 1, X 2, ... , X n be independent observations with the joint probability density !(x,O) (with respect to the Lebesgue measure on the real line) which depends on the unknown patameter o e 9 c R1. It is required to derive the best (asymptotically) estimator 0:( X b ... , X n) of the parameter O. The first question which arises in connection with this problem is how to compare different estimators or, equivalently, how to assess their quality, in terms of the mean square deviation from the parameter or perhaps in some other way. The presently accepted approach to this problem, resulting from A. Wald's contributions, is as follows: introduce a nonnegative function w(0l ( ), Ob Oe 9 (the loss function) and given two estimators Of and O! n 2 2 the estimator for which the expected loss (risk) Eown(Oj, 0), j = 1 or 2, is smallest is called the better with respect to Wn at point 0 (here EoO is the expectation evaluated under the assumption that the true value of the parameter is 0). Obviously, such a method of comparison is not without its defects.

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Autor: I. A. Ibragimov
ISBN-13:: 9780387905235
ISBN: 0387905235
Erscheinungsjahr: 12.07.1981
Verlag: Springer, Berlin
Gewicht: 750g
Seiten: 403
Sprache: Englisch
Sonstiges: Buch