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Efficient Estimation of Dynamical Systems
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Stefano Maria Iacus
Published/Copyright:
January 1, 2001
The aim of this article 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 Cram´er-Rao inequality.
Keywords: asymptotic efficiency; diffusion process; dynamical systems; integrated mean square error; quadratic risk; semiparametric estimation
Published Online: 2001-1-1
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Keywords for this article
asymptotic efficiency;
diffusion process;
dynamical systems;
integrated mean square error;
quadratic risk;
semiparametric estimation
