EXACT COMPUTATION OF THE ASYMPTOTIC EFFICIENCY OF MAXIMUM-LIKELIHOOD ESTIMATORS OF A DISCONTINUOUS SIGNAL IN A GAUSSIAN WHITE-NOISE
成果类型：
Article
署名作者：
RUBIN, H; SONG, KS
署名单位：
Texas A&M University System; Texas A&M University College Station
刊物名称：
ANNALS OF STATISTICS
ISSN/ISSBN：
0090-5364
DOI：
10.1214/aos/1176324618
发表日期：
1995
页码：
732-739
关键词：
摘要：
In this paper, the problem of computing the exact value of the asymptotic efficiency of maximum likelihood estimators ol a discontinuous signal in a Gaussian white noise is considered. A method based on constructing difference equations for the appropriate moments is presented and used to show that the exact variance of the Pitman estimator is 16 zeta(3), where zeta is the Riemann zeta function.