Optimal estimation of parameters
著者
書誌事項
Optimal estimation of parameters
Cambridge University Press, 2012
- : hardback
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注記
Bibliography: p. [156]-160
Includes index
内容説明・目次
内容説明
This book presents a comprehensive and consistent theory of estimation. The framework described leads naturally to a generalized maximum capacity 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.
目次
- 1. Introduction
- 2. Coding
- 3. Basics of information
- 4. Modeling problem
- 5. Other optimality properties
- 6. Interval estimation
- 7. Hypothesis testing
- 8. Denoising
- 9. Sequential models
- Appendix A. Elements of algorithmic information
- Appendix B. Universal prior for integers.
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