Optimal Estimation of Parameters
Rissanen J.
This book presents a comprehensive and consistent theory of estimation. The framework described leads naturally to the maximum capacity estimator as a generalization of the maximum likelihood estimator. This approach allows the optimal estimation of real-valued parameters, their number and intervals, as well as providing common ground for explaining the power of these estimators.
Beginning with a review of coding and the key properties of information, the author goes on to discuss the techniques of estimation, and develops the generalized maximum capacity estimator, based on a new form of Shannon’s mutual information and channel capacity. Applications of this powerful technique in hypothesis testing and denoising are described in detail.
Offering an original and thought-provoking perspective on estimation theory, Jorma Rissanen’s book is of interest to graduate students and researchers in the fields of information theory, probability and statistics, econometrics, and finance.
Beginning with a review of coding and the key properties of information, the author goes on to discuss the techniques of estimation, and develops the generalized maximum capacity estimator, based on a new form of Shannon’s mutual information and channel capacity. Applications of this powerful technique in hypothesis testing and denoising are described in detail.
Offering an original and thought-provoking perspective on estimation theory, Jorma Rissanen’s book is of interest to graduate students and researchers in the fields of information theory, probability and statistics, econometrics, and finance.
Κατηγορίες:
Έτος:
2012
Εκδότης:
Cambridge University Press
Γλώσσα:
english
Σελίδες:
171
ISBN 10:
1107004748
ISBN 13:
9781107004740
Αρχείο:
DJVU, 2.46 MB
IPFS:
,
english, 2012