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Authors :
Samir Lababidi
Source :
Statistical Inference for Stochastic Processes. 6:15-24
Publication Year :
2003
Publisher :
Springer Science and Business Media LLC, 2003.

Abstract

This paper deals with a nonparametric estimation problem of an integral-type functional from indirect observations where the observation Y e(t) is a sum of a known function of an unobservable process X e(t) and a Gaussian white noise, and X e(t) is a sum of an unknown function a(t) and a Gaussian process. The minimax lower bound on the quality of nonparametric estimation is derived and an asymptotically efficient estimator is proposed. The paper concludes with some examples including one about reduction to parameter estimation.

Details

ISSN :
13870874
Volume :
6
Database :
OpenAIRE
Journal :
Statistical Inference for Stochastic Processes
Accession number :
edsair.doi...........9875124485f19d8274e2ea541531a7db
Full Text :
https://doi.org/10.1023/a:1022649232738