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Optimal estimation of parameters / Jorma Rissanen, Tampere University of Technology, Helsinki Institute for Information Technology.

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Author/Creator:
Rissanen, Jorma.
Language:
English.
Publication date:
2012
Copyright date:
2012
Imprint:
Cambridge ; New York : Cambridge University Press, 2012, ©2012.
Format:
  • Book
  • vi, 162 pages : illustrations ; 26 cm
Bibliography:
Includes bibliographical references (pages [156]-160) and index.
Contents:
  • Machine generated contents note: 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.
Summary:
"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"-- Provided by publisher.
Subjects:
ISBN:
9781107004740
1107004748

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