TY  - BOOK
AU  - Rissanen,Jorma
TI  - Optimal estimation of parameters
SN  - 9781107004740 (hardback)
U1  - 519.544 
PY  - 2012///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Estimation theory
N1  - Includes bibliographical references (pages [156]-160) and index; Machine generated contents note: 1. Introduction; 2. Coding; 3. Basics of information; 4. Modeling problem; 5. Other optimality properties; 6. Interval estimation; 7. Hypothesis testing; 8. Denoising; 9. Sequential models; Appendix A. Elements of algorithmic information; Appendix B. Universal prior for integers
N2  - "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"--
UR  - http://assets.cambridge.org/97811070/04740/cover/9781107004740.jpg
ER  -