The aim of this article is to show a simple way to construct asymptotic minimax lower bounds for risks based on different types of quadratic loss functions in semiparametric inference problems. For the sake of clarity, we consider the simple case of the state estimation of a dynamical system with small noise. The proofs are based on the van Trees inequality, namely, an integral-type Cram´er-Rao inequality.
Ed. by Mizrach, Bruce
5 Issues per year
IMPACT FACTOR 2011: 0.405
5-year IMPACT FACTOR: 0.739
Issues
Volume 17 (2013)
Volume 16 (2012)
Volume 15 (2011)
Volume 14 (2010)
Volume 13 (2009)
Volume 12 (2008)
Volume 11 (2007)
Volume 10 (2006)
Volume 9 (2005)
Volume 8 (2004)
Volume 7 (2003)
Volume 6 (2003)
Volume 5 (2002)
Volume 4 (2001)
Volume 3 (1999)
Volume 2 (1998)
Volume 1 (1997)
Most Downloaded Articles
- The Fiscal Cost of Financial Instability by Chiarella, Carl and Di Guilmi, Corrado
- Effects of Inflation Expectations on Macroeconomic Dynamics: Extrapolative Versus Regressive Expectations by Lines, Marji and Westerhoff, Frank
- A New Forecasting Model for USD/CNY Exchange Rate by Cai, Zongwu/ Chen, Linna and Fang, Ying
- A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis by Meinl, Thomas and Sun, Edward W.
- Forecasting Stock Market Volatility with Regime-Switching GARCH Models by Marcucci, Juri
Efficient Estimation of Dynamical Systems
Stefano Maria Iacus
1University of Milan
Citation Information: Studies in Nonlinear Dynamics & Econometrics. Volume 4, Issue 4, Pages –, ISSN (Online) 1558-3708, DOI: 10.2202/1558-3708.1065, January 2001
Publication History:
- Published Online:
- 2001-01-01
Keywords: asymptotic efficiency; diffusion process; dynamical systems; integrated mean square error; quadratic risk; semiparametric estimation
Comments (0)