All Questions
Tagged with estimate or estimation-theory
111 questions
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Estimation of Temporal Correlation of Signal
I have a signal and i'd like to estimate its temporal correlation.
My limited understanding is i should compute the PSD by estimation using a parametric model such as AR.
However, i'm not quite ...
1
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1
answer
282
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Is an unbiased estimator with arbitrarily small variance necessarily consistent?
Given an unbiased estimator $\hat \theta_n$ of a parameter $\theta$, if the estimator has small variance (approaching $0$ as $n\to\infty$), it seems reasonable to expect that the estimator is ...
- 133
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2
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453
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Estimating a sum
Sorry for the vague title but I couldn't find a better one.
I want to compute the sum $S = \frac{1}{N}\sum_{i=1}^N c_i x_i$ where $c_i$s are known positive constants. The problem is that computing ...
- 453
1
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Estimation of X in Gaussian noise
Given
$\textbf{x}=[x_1 x_2 ... x_n]^T$ where $\textbf{x} \in \{ 0, a_1, a_2, a_3\}^n, a_i \in \mathbb{C}$ and $\textbf{z} = \{z_1 z_2,...,z_n \}$ where $z_i \textbf{~} N(0,\sigma^2)$ is a Complex ...
- 11
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Why does the OLS estimator simplify as follows for the single regressor case?
I was reading in "A Guide to Econometrics" that given $Y = X \beta + \epsilon$, the variance covariance matrix of $\beta^\text{OLS}$ is given by $\sigma^2 (X' X)^{-1}$ where $\sigma^2$ is the variance ...
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4
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2
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12k
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Maximum likelihood estimator for Power-law with Exponential cutoff
Hi,
for fitting empirical data to power-law I am aware of the work by Clauset et al. (http://arxiv.org/abs/0706.1062) and how to use maximum likelihood estimation. There exists also a simple maximum ...
- 41
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975
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Interpolating Wavelet Coefficients
Hi! I was instructed via reddit that this place would be the best place to post this question. Fingers cross you can help...
Ive been writing some code to get rid of noise "spikes" in a signal. I'm ...
- 31
3
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1
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578
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Why doesn't Stein effect happen for multinomial distributions?
(Medeen, et all, 1998)" show that Maximum Likelihood estimate is admissible for multinomial distribution under squared error. On other hand, James and Stein showed that arithmetic average is not an ...
- 2,242
20
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1
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4k
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Using Fisher Information to bound KL divergence
Is it possible to use Fisher Information at p to get a useful upper bound on KL(q,p)?
KL(q,p) is known as Kullback-Liebler divergence and is defined for discrete distributions over k outcomes as ...
- 2,242
1
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1
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Is there a text on estimation theory online?
Where can I find graduate level, thorough, parameter estimation/ estimation theory material on the web?
- 307
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3
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Is the min function ever an unbiased estimator for the mean?
Given $n$ i.i.d. variables $X_1$ to $X_n$ with an unknown probability distribution, the sample average is an unbiased estimator for the mean of the distribution. Is there some non-trivial probability ...
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