Optimal Estimation of Parameters (Hardcover) (ISBN-13: 9781107004740)

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.

Author: Jorma Rissanen
ISBN-10: 1107004748
ISBN-13: 9781107004740
Publisher: Cambridge University Press
Language: English
Published: 06/07/2012
Pages: 170
Format: Hardcover
Weight: 1.10lbs
Size: 9.80h x 6.80w x 0.50d