Name: On-line nonparametric estimation
Creator: Khasminskii, Rafail
Keywords: Nonlinear filter, :62 Statistics::62M Inference from stochastic processes [Classificació AMS], Inference, Inferència, Classificació AMS::62 Statistics::62M Inference from stochastic processes, Processos estocàstics, Classificació AMS::62 Statistics::62G Nonparametric inference, On-line estimation, White Gaussian Noise, :62 Statistics::62G Nonparametric inference [Classificació AMS]

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 2004 English Publisher:Institut d'Estadística de CatalunyaJournal:SORT- Statistics and Operations Research Transactions

Authors: Khasminskii, Rafail;

handle: 2099/3748

On-line nonparametric estimation

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Abstract

A survey of some recent results on nonparametric on-line estimation is presented. The first result deals with an on-line estimation for a smooth signal S(t) in the classic ‘signal plus Gaussian white noise’ model. Then an analogous on-line estimator for the regression estimation problem with equidistant design is described and justified. Finally some preliminary results related to the on-line estimation for the diffusion observed process are described.

Peer Reviewed

Related Organizations

Universitat Politècnica de Catalunya
Spain
Universitat Polite`cnica de Catalunya
Spain
Autonomous University of Barcelona
Spain

Keywords

Nonlinear filter, :62 Statistics::62M Inference from stochastic processes [Classificació AMS], Inference, Inferència, Classificació AMS::62 Statistics::62M Inference from stochastic processes, Processos estocàstics, Classificació AMS::62 Statistics::62G Nonparametric inference, On-line estimation, White Gaussian Noise, :62 Statistics::62G Nonparametric inference [Classificació AMS]

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