Optimal Estimation of Parameters

By Jorma Rissanen

Book Overview

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.

• Format: Hardcover
• Language: English
• ISBN: 1107004748
• ISBN13: 9781107004740
• Release Date: July 2012
• Publisher: Cambridge University Press
• Length: 170 Pages
• Weight: 1.15 lbs.
• Dimensions: 0.5" x 6.8" x 9.8"