Optimal estimation of parameters

This book presents a comprehensive and consistent theory of estimation.

The framework described leads naturally to a generalized maximum capacity estimator.

This approach allows the optimal estimation of real-valued parameters, their number and intervals, as well as providing common ground for explaining the power of these estimators.

Beginning with a review of coding and the key properties of information, the author goes on to discuss the techniques of estimation and develops the generalized maximum capacity estimator, based on a new form of Shannon's mutual information and channel capacity.

Applications of this powerful technique in hypothesis testing and denoising are described in detail.

Offering an original and thought-provoking perspective on estimation theory, Jorma Rissanen's book is of interest to graduate students and researchers in the fields of information theory, probability and statistics, econometrics and finance.