Optimal estimation of parameters

• 作者： Rissanen, Jorma.
• 出版： Cambridge : Cambridge University Press
• 主題： Estimation theory
• ISBN： 9781107004740 (hbk.) 、 1107004748 (hbk.)
• 資料類型: 圖書
• 內容註: Includes bibliographical references (pages [156]-160) and index. 1. Introduction -- 2. Basics of coding -- 3. Basics of information -- 4. Modeling problems -- 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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• 摘要註: "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"--
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