Abstract

The aim of this article is to show a simple way to construct asymptotic minimax lower bounds for risks based on different types of quadratic loss functions in semiparametric inference problems. For the sake of clarity, we consider the simple case of the state estimation of a dynamical system with small noise. The proofs are based on the van Trees inequality, namely, an integral-type Cram´er-Rao inequality.

Recommended Citation

Stefano Maria Iacus (2001) "Efficient Estimation of Dynamical Systems", Studies in Nonlinear Dynamics & Econometrics: Vol. 4: No. 4, Article 3.
http://www.bepress.com/snde/vol4/iss4/art3