Estimating a~monotone function, being observe in the white noise
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 11, Tome 341 (2007), pp. 124-133
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Monotone functions on the segment is being observed in the Gaussian white noise. The Maximum Likelihood Estimator of such a function is of a piecewise continious sort. A limit theorem on the convergence rate of such an estimator is proved.
@article{ZNSL_2007_341_a6,
author = {K. L. Zilberburg},
title = {Estimating a~monotone function, being observe in the white noise},
journal = {Zapiski Nauchnykh Seminarov POMI},
pages = {124--133},
publisher = {mathdoc},
volume = {341},
year = {2007},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/ZNSL_2007_341_a6/}
}
K. L. Zilberburg. Estimating a~monotone function, being observe in the white noise. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 11, Tome 341 (2007), pp. 124-133. http://geodesic.mathdoc.fr/item/ZNSL_2007_341_a6/