Information Theory and Methods of Signal Processing

Study of the Second-Order Properties of the Estimates of the Signal Parameter in White Gaussian Noise. Estimate of Maximum a posteriori Density

M. V. Burnashev


Abstract: Asymptotic expansion of the maximum a posteriori density estimate is investigated, with analysis of its distribution function in the problem of estimation of an unknown parameter $\theta_o$ from observation of diffusion process $X_t$ defined by
$$ dX_t=S_t(\theta_0)dt+DW_t,\quad t\in[0,T],\quad\theta_0\in\Theta. $$


UDC: 621.391.1:519.28

Received: 20.03.1979
Revised: 10.10.1980

 English version: Problems of Information Transmission, 1981, 17:1, 10–18

Bibliographic databases:

• 
•