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.
- 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.
- (source: Nielsen Book Data)
- Publisher's 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.
(source: Nielsen Book Data)
- Supplemental links
- Cover image
- Estimation theory.
- Publication date
- Copyright date
- Jorma Rissanen, Tampere University of Technology, Helsinki Institute for Information Technology.
- 9781107004740 (hbk.)
- 1107004748 (hbk.)