0
votes
0answers
24 views

What is the problem with this model parameter estimation algorithm?

In a statistical model with parameters $\theta$ and unobserved laten variables $Z$, the model likelihood is $$L(\theta;X)=Pr(X|\theta)=\sum_ZPr(X,Z|\theta)$$ The standard way to estimate $\theta$ ...
0
votes
0answers
14 views

Optimal combination of multiple estimates of a random variable

For the following estimation problem: y = hx + n, x is the sent data, y is the observation (received data), h is a scaling factor (known), n is an AWGN random variable with zero mean ...
0
votes
0answers
16 views

OLS estimators in stationary process

Given a stationary process xt=a+b*t+et with et a white noise, how can I find the OLS estimators for a and b? Cheers
1
vote
0answers
61 views

Expectation of $\cos(\|X\|)$ where $X \sim \mathcal{N}(\mu,\Sigma)$

Do: $$ \int_{-\infty}^\infty \int_{-\infty}^\infty \cos\left(\sqrt{x^2+y^2}\right) e^{-\frac{1}{2}\left[\frac{(x-\mu_x)^2}{\sigma_x^2} + ...
1
vote
2answers
50 views

how to estimate the phase parameter of a complex function

There is a complex serie: $f(t_n)=\alpha_n+\beta_n i$, for $n = 1,...,N$,$t_n,\alpha_n$ and $\beta_n$ are known.When we have know that $f(t)$ has the following form: $$f(t)=Ae^{-iBt}$$ with unknown ...
0
votes
1answer
25 views

How to compute MAP estimate of y?

Suppose that a scalar random variable y is of the form $y=z+v$, where the pdf of $v$ is $p_{v}(t)=\frac{t}{2}$ on the interval $[0,2]$, and the pdf of $z$ is $p_{z}(t)=2t$on the interval $[0,1]$. Both ...
1
vote
0answers
26 views

ML estimate of sum of guassian variables?

consider the sum $z=x_{1}+...+x_{k}$, where the scalar variables $x_{i}$ are statistically independent and Gaussian, each having the same mean $0$ and variance $\sigma^2_{x}.$ how can I construct the ...
0
votes
0answers
38 views

Asymptotic result on quadratic variation of a semi-martingale linear functional estimator

In the same context of this previous question. Consider $$ \mathcal E^{(n)}_t := \sqrt{n}(\widehat\Lambda_n(\phi)_t - \Lambda(\phi)_t )$$ I desire to prove that $$ \left \langle \mathcal ...
1
vote
0answers
68 views

Estimation of a Ito's semi-martingale linear functional

Could someone check my solution for the following problem please? Or maybe propose a smarter/shorter solution. Consider a stochastic process $X=(X_t)_{t \in [0,1]}$ defined in a filtred ...
0
votes
1answer
42 views

proving unbiasedness of an estimator

Question given independent random variable $X_{1},X_{2},...,X_{n}$ from a geometric distribution with parameter $p$. we have an estimator for $p$, mainly $T=Y/n$ where Y is number of $i$ that ...
0
votes
0answers
42 views

Variance of a difference in estimated proportions with trivariate discrete distributions

Let a multivariate distribution be given by $P(Y,S_1,S_2)$, where all three variables are discrete, $Y$ is multivalued, $S_1=(0,1)$ and $S_2=(0,1)$, respectively, and all may be dependent. Define the ...
0
votes
0answers
41 views

Maximization of The Likelihood Function of Vector Entries and Its Norm

I'd be happy for assistance with the maximization of the likelihood function of the following model. The Parameters Vector $ \mathbf{\Theta} = [{x}_{1}, {x}_{2}] $. The measurement vector is $ ...
2
votes
1answer
22 views

How to show this estimation?

i have this polynom $$p(x) = \sum_{i=0}^{m}a_ix^i$$ I want to show, that if $\tilde{z}$ is the approximation to the simple zero digit $z \neq 0$ in first approximation, the following estimation ...
0
votes
1answer
24 views

How to show, that a relative mistake of a special function can be estimated in a given way

how to show, that if you have a function like this $$ y = f(x_1,...,x_m) := c \frac{x_1 *...*x_r}{x_{r+1},...,x_m}, \quad 1 < r \leq m,$$ the relative mistake in first order can be estimated ...
1
vote
1answer
41 views

Overestimate of $|\oint_{|z|=R} f(z) \mathrm{d}z|$ with $f(z)=\frac{z^a}{z^2+1}$, $0<|a|<1\mathrm{with} \;a \in \mathbb R$

How can I overestimate, $|\oint_{|z|=R} f(z) \mathrm{d}z |$ with $f(z)=\frac{z^a}{z^2+1}$, $0<|a|<1 \; \mathrm{with} \;a \in \mathbb R$ ? I tried this: $|\oint_{|z|=R} f(z) \mathrm{d}z | <= ...
4
votes
1answer
148 views

Estimate the scale of $e^{-(m+1) t} \sum _{k=0}^{\infty } \frac{t^k}{k!}\left(\sum _{r=0}^k \frac{t^r}{r!}\right)^{m}$

I would like to estimate the scale of the following series, $$S(m,t)=e^{-(m+1) t} \sum _{k=0}^{\infty } \frac{t^k}{k!}\left(\sum _{r=0}^k \frac{t^r}{r!}\right)^{m},$$ where $e$ is the base of ...
1
vote
0answers
22 views

Is there a way to estimate the range of fitting coefficients from only the data?

Considering an approximation $f$ for a set of $N$ data points $(x,y)$ using, for example, $M$ radial basis functions at arbitrary sites in the domain $f_i = \sum_{j=1} ^M c_j\phi(||x_i-x_j||)$ where ...
1
vote
1answer
191 views

Numerical calculation of fisher information

I am trying to obtain numerically the fisher information. Given a likelihood function $$ f(X,\theta),$$ with $X \in [0,1]$. The fisher information is given by $$ ...
0
votes
1answer
25 views

How to obtain estimate of covariance matrix that will be guarantee to be semi-positive define?

How to obtain estimate of covariance matrix that will be guarantee to be semi-positive define ? (Is CrossValidated better place for this question ?)
1
vote
0answers
49 views

Estimate the size of a set given random sub sets.

Assuming there is a set $S$ that you are given subsets of, $s_1, s_2, ..., s_n$, estimate $|S|$ (and a confidence interval if possible) making as few assumptions as possible. I'm not going to quibble ...
3
votes
1answer
321 views

Determine whether a statistic is sufficient, given the probability density

Let $X_1, X_2, \dots, X_n$ be a sample of i.i.d. random variables, with density $$f_\theta=\frac{2}{3\theta}\left(1-\frac{x}{3\theta}\right) $$ for $0 < x < 3\theta$. And $f_\theta=0$ if $ x ...