Optimal Estimation of Parameters

Jorma Rissanen

• Publisher: Cambridge University Press
• Year: 2012
• Print ISBN: 9781107004740
• eBook ISBN: 9781139512190
• Topic: Technology & Engineering
• Subtopic: Signals & Signal Processing
• Index: Technology & Engineering

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.

Table of contents

• Cover
• OPTIMAL ESTIMATION OF PARAMETERS
• Title
• Copyright
• Contents
• Preface
• 1: Introduction
• Part I: Coding and information
• Part II: Estimation
• Appendix A: Elements of algorithmic information
• Appendix B: Universal prior for integers
• References
• Index