Efficient Estimation of Dynamical systems

Stefano Iacus ()

Departmental Working Papers from Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano

Abstract: The aim of this paper 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 Cramer-Rao inequality.

Keywords: dynamical systems; diffusion process; semiparametric estimation (search for similar items in EconPapers)
Date: 1999-01-01
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Efficient Estimation of Dynamical Systems (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:mil:wpdepa:1999-03

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