Translator Disclaimer
December, 1984 Estimation of a Noisy Discrete-Time Step Function: Bayes and Empirical Bayes Approaches
Yi-Ching Yao
Ann. Statist. 12(4): 1434-1447 (December, 1984). DOI: 10.1214/aos/1176346802

Abstract

Consider the problem of estimating, in a Bayesian framework and in the presence of additive Gaussian noise, a signal which is a step function. Best linear estimates and Bayes estimates are derived, evaluated and compared. A characterization of the Bayes estimates is presented. This characterization has an intuitive interpretation and also provides a way to compute the Bayes estimates with a number of operations of the order of $T^3$ where $T$ is the fixed time span. An approximation to the Bayes estimates is proposed which reduces the total number of operations to the order of $T$. The results are applied to the case where the Bayesian model fails to be satisfied using an empirical Bayes approach.

Citation

Download Citation

Yi-Ching Yao. "Estimation of a Noisy Discrete-Time Step Function: Bayes and Empirical Bayes Approaches." Ann. Statist. 12 (4) 1434 - 1447, December, 1984. https://doi.org/10.1214/aos/1176346802

Information

Published: December, 1984
First available in Project Euclid: 12 April 2007

zbMATH: 0551.62069
MathSciNet: MR760698
Digital Object Identifier: 10.1214/aos/1176346802

Subjects:
Primary: 62M20
Secondary: 62C12, 62G05, 93E14

Rights: Copyright © 1984 Institute of Mathematical Statistics

JOURNAL ARTICLE
14 PAGES


SHARE
Vol.12 • No. 4 • December, 1984
Back to Top