On estimation of time dependent spatial signal in Gaussian white noise.

DOI10.1016/S0304-4149(01)00111-9zbMath1058.62067OpenAlexW2060333023MaRDI QIDQ1766014

Rafail Z. Khasminskii, Robert Sh. Liptser, Pao-Liu Chow

Publication date: 25 February 2005

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(01)00111-9

zbMATH Keywords

kernel estimatorprojection estimatorGaussian random measure

Mathematics Subject Classification ID

Density estimation (62G07) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Estimation and detection in stochastic control theory (93E10) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites Work

• Unnamed Item
• Optimal filtration of a function of many variables in white Gaussian noise
• On density estimation in the view of Kolmogorov's ideas in approximation theory
• Optimal filtering of square-integrable signals in Gaussian noise
• Tracking of signals and its derivatives in Gaussian white noise
• Statistical approach to some ill-posed problems for linear partial differential equations
• Optimal global rates of convergence for nonparametric regression
• Remarks on Some Nonparametric Estimates of a Density Function
• Nonparametric Estimation of a Regression Function that is Smooth in a Domain in $R^k$
• On Estimation of a Probability Density Function and Mode
• Stochastic Equations in Infinite Dimensions

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