Estimation Theory

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An Estimation Theory is a statistical theory for the properties of estimation algorithms.



References

2014

  • (Wikipedia, 2014) ⇒ http://en.wikipedia.org/wiki/Estimation_theory Retrieved:2014-9-23.
    • Estimation theory is a branch of statistics that deals with estimating the values of parameters based on measured/empirical data that has a random component. The parameters describe an underlying physical setting in such a way that their value affects the distribution of the measured data. An estimator attempts to approximate the unknown parameters using the measurements.

      For example, it is desired to estimate the proportion of a population of voters who will vote for a particular candidate. That proportion is the parameter sought; the estimate is based on a small random sample of voters.

      Or, for example, in radar the goal is to estimate the range of objects (airplanes, boats, etc.) by analyzing the two-way transit timing of received echoes of transmitted pulses. Since the reflected pulses are unavoidably embedded in electrical noise, their measured values are randomly distributed, so that the transit time must be estimated.

      In estimation theory, two approaches are generally considered.

      • The probabilistic approach (described in this article) assumes that the measured data is random with probability distribution dependent on the parameters of interest
      • The set-membership approach assumes that the measured data vector belongs to a set which depends on the parameter vector.
    • For example, in electrical communication theory, the measurements which contain information regarding the parameters of interest are often associated with a noisy signal. Without randomness, or noise, the problem would be deterministic and estimation would not be needed.

2011

  • (Wikipedia, 2011) ⇒ http://en.wikipedia.org/wiki/Estimation_theory
    • Estimation theory is a branch of statistics and signal processing that deals with estimating the values of parameters based on measured/empirical data that has a random component. The parameters describe an underlying physical setting in such a way that their value affects the distribution of the measured data. An estimator attempts to approximate the unknown parameters using the measurements.

      For example, it is desired to estimate the proportion of a population of voters who will vote for a particular candidate. That proportion is the unobservable parameter; the estimate is based on a small random sample of voters.

      Or, for example, in radar the goal is to estimate the range of objects (airplanes, boats, etc.) by analyzing the two-way transit timing of received echoes of transmitted pulses. Since the reflected pulses are unavoidably embedded in electrical noise, their measured values are randomly distributed, so that the transit time must be estimated.

      In estimation theory, it is assumed the measured data is random with probability distribution dependent on the parameters of interest. For example, in electrical communication theory, the measurements which contain information regarding the parameters of interest are often associated with a noisy signal. Without randomness, or noise, the problem would be deterministic and estimation would not be needed.

      The entire purpose of estimation theory is to arrive at an estimator, and preferably an implementable one that could actually be used.

      The estimator takes the measured data as input and produces an estimate of the parameters.

      It is also preferable to derive an estimator that exhibits optimality. Estimator optimality usually refers to achieving minimum average error over some class of estimators, for example, a minimum variance unbiased estimator. In this case, the class is the set of unbiased estimators, and the average error measure is variance (average squared error between the value of the estimate and the parameter). However, optimal estimators do not always exist.

      These are the general steps to arrive at an estimator:

      • In order to arrive at a desired estimator, it is first necessary to determine a probability distribution for the measured data, and the distribution's dependence on the unknown parameters of interest. Often, the probability distribution may be derived from physical models that explicitly show how the measured data depends on the parameters to be estimated, and how the data is corrupted by random errors or noise. In other cases, the probability distribution for the measured data is simply "assumed", for example, based on familiarity with the measured data and/or for analytical convenience.
      • After deciding upon a probabilistic model, it is helpful to find the limitations placed upon an estimator. This limitation, for example, can be found through the Cramér–Rao bound.
      • Next, an estimator needs to be developed or applied if an already known estimator is valid for the model. The estimator needs to be tested against the limitations to determine if it is an optimal estimator (if so, then no other estimator will perform better).
      • Finally, experiments or simulations can be run using the estimator to test its performance.
    • After arriving at an estimator, real data might show that the model used to derive the estimator is incorrect, which may require repeating these steps to find a new estimator.

      A non-implementable or infeasible estimator may need to be scrapped and the process started anew.

      In summary, the estimator estimates the parameters of a physical model based on measured data.