Optimal estimation of parameters
- Rissanen, Jorma.
- Cambridge ; New York : Cambridge University Press, 2012, ©2012.
- Physical description
- vi, 162 pages : illustrations ; 26 cm
QA276.8 .R57 2012
- Unknown QA276.8 .R57 2012
- Includes bibliographical references (pages -160) and index.
- 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.
- "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.
- Supplemental links
- Cover image
- Estimation theory.
- Publication date
- Copyright date
- Jorma Rissanen, Tampere University of Technology, Helsinki Institute for Information Technology.