Estimation theory

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. In estimation theory, two approaches are
generally considered:[1]

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.

Examples
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. Alternatively, it is desired to estimate the probability of a voter voting for a particular candidate,
based on some demographic features, such as age.

Or, for example, in radar the aim is to find 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.

As another example, in electrical communication theory, the measurements which contain information
regarding the parameters of interest are often associated with a noisy signal.

Basics
For a given model, several statistical "ingredients" are needed so the estimator can be implemented. The
first is a statistical sample – a set of data points taken from a random vector (RV) of size N. Put into a
vector,

Secondly, there are M parameters

whose values are to be estimated. Third, the continuous probability density function (pdf) or its discrete
counterpart, the probability mass function (pmf), of the underlying distribution that generated the data must
be stated conditional on the values of the parameters:

It is also possible for the parameters themselves to have a probability distribution (e.g., Bayesian statistics).
It is then necessary to define the Bayesian probability

After the model is formed, the goal is to estimate the parameters, with the estimates commonly denoted ,
where the "hat" indicates the estimate.

One common estimator is the minimum mean squared error (MMSE) estimator, which utilizes the error
between the estimated parameters and the actual value of the parameters

as the basis for optimality. This error term is then squared and the expected value of this squared value is
minimized for the MMSE estimator.

Estimators
Commonly used estimators (estimation methods) and topics related to them include:

Maximum likelihood estimators

Bayes estimators
Method of moments estimators
Cramér–Rao bound
Least squares
Minimum mean squared error (MMSE), also known as Bayes least squared error (BLSE)
Maximum a posteriori (MAP)
Minimum variance unbiased estimator (MVUE)
Nonlinear system identification
Best linear unbiased estimator (BLUE)
Unbiased estimators — see estimator bias.
Particle filter
Markov chain Monte Carlo (MCMC)
Kalman filter, and its various derivatives
Wiener filter

Examples

Unknown constant in additive white Gaussian noise

Consider a received discrete signal, , of independent samples that consists of an unknown constant
with additive white Gaussian noise (AWGN) with zero mean and known variance (i.e.,
). Since the variance is known then the only unknown parameter is .

The model for the signal is then

Two possible (of many) estimators for the parameter are:

which is the sample mean

Both of these estimators have a mean of , which can be shown through taking the expected value of each
estimator

and

At this point, these two estimators would appear to perform the same. However, the difference between
them becomes apparent when comparing the variances.

and

It would seem that the sample mean is a better estimator since its variance is lower for every N > 1.

Maximum likelihood

Continuing the example using the maximum likelihood estimator, the probability density function (pdf) of
the noise for one sample is

and the probability of becomes ( can be thought of a )

By independence, the probability of becomes

Taking the natural logarithm of the pdf

and the maximum likelihood estimator is

Taking the first derivative of the log-likelihood function

and setting it to zero

This results in the maximum likelihood estimator

which is simply the sample mean. From this example, it was found that the sample mean is the maximum
likelihood estimator for samples of a fixed, unknown parameter corrupted by AWGN.

Cramér–Rao lower bound

To find the Cramér–Rao lower bound (CRLB) of the sample mean estimator, it is first necessary to find the
Fisher information number

and copying from above

Taking the second derivative

and finding the negative expected value is trivial since it is now a deterministic constant

Finally, putting the Fisher information into

results in

Comparing this to the variance of the sample mean (determined previously) shows that the sample mean is
equal to the Cramér–Rao lower bound for all values of and . In other words, the sample mean is the
(necessarily unique) efficient estimator, and thus also the minimum variance unbiased estimator (MVUE),
in addition to being the maximum likelihood estimator.

Maximum of a uniform distribution

One of the simplest non-trivial examples of estimation is the estimation of the maximum of a uniform
distribution. It is used as a hands-on classroom exercise and to illustrate basic principles of estimation
theory. Further, in the case of estimation based on a single sample, it demonstrates philosophical issues and
possible misunderstandings in the use of maximum likelihood estimators and likelihood functions.

Given a discrete uniform distribution with unknown maximum, the UMVU estimator for the
maximum is given by

where m is the sample maximum and k is the sample size, sampling without replacement.[2][3] This problem
is commonly known as the German tank problem, due to application of maximum estimation to estimates of
German tank production during World War II.

The formula may be understood intuitively as;

"The sample maximum plus the average gap between observations in the sample",

the gap being added to compensate for the negative bias of the sample maximum as an estimator for the
population maximum.[note 1]

This has a variance of[2]

so a standard deviation of approximately , the (population) average size of a gap between samples;
compare above. This can be seen as a very simple case of maximum spacing estimation.

The sample maximum is the maximum likelihood estimator for the population maximum, but, as discussed
above, it is biased.

Applications
Numerous fields require the use of estimation theory. Some of these fields include:

Interpretation of scientific experiments

Signal processing
Clinical trials
Opinion polls
Quality control
Telecommunications
Project management
Software engineering
Control theory (in particular Adaptive control)
Network intrusion detection system
Orbit determination
Measured data are likely to be subject to noise or uncertainty and it is through statistical probability that
optimal solutions are sought to extract as much information from the data as possible.

See also
Best linear unbiased estimator (BLUE)
Completeness (statistics)
Detection theory
Efficiency (statistics)
Expectation-maximization algorithm (EM algorithm)
Fermi problem
Grey box model
Information theory
Least-squares spectral analysis
Matched filter
Maximum entropy spectral estimation
Nuisance parameter
Parametric equation
Pareto principle
Rule of three (statistics)
State estimator
Statistical signal processing
Sufficiency (statistics)

Notes
1. The sample maximum is never more than the population maximum, but can be less, hence it
is a biased estimator: it will tend to underestimate the population maximum.

References

Citations
1. Walter, E.; Pronzato, L. (1997). Identification of Parametric Models from Experimental Data.
London, England: Springer-Verlag.
2. Johnson, Roger (1994), "Estimating the Size of a Population", Teaching Statistics, 16 (2
(Summer)): 50–52, doi:10.1111/j.1467-9639.1994.tb00688.x (https://doi.org/10.1111%2Fj.14
67-9639.1994.tb00688.x)
3. Johnson, Roger (2006), "Estimating the Size of a Population" (https://web.archive.org/web/2
0081120085633/http://www.rsscse.org.uk/ts/gtb/contents.html), Getting the Best from
Teaching Statistics (http://www.rsscse.org.uk/ts/gtb/contents.html), archived from the original
(http://www.rsscse.org.uk/ts/gtb/johnson.pdf) (PDF) on November 20, 2008

Sources
Theory of Point Estimation by E.L. Lehmann and G. Casella. (ISBN 0387985026)
 Systems Cost Engineering by Dale Shermon. (ISBN 978-0-566-08861-2)
Mathematical Statistics and Data Analysis by John Rice. (ISBN 0-534-209343)
Fundamentals of Statistical Signal Processing: Estimation Theory by Steven M. Kay
(ISBN 0-13-345711-7)
An Introduction to Signal Detection and Estimation by H. Vincent Poor (ISBN 0-387-94173-
8)
Detection, Estimation, and Modulation Theory, Part 1 by Harry L. Van Trees (ISBN 0-471-
09517-6; website (https://web.archive.org/web/20050428233957/http://gunston.gmu.edu/de
mt/demtp1/))
Optimal State Estimation: Kalman, H-infinity, and Nonlinear Approaches by Dan Simon
website (http://academic.csuohio.edu/simond/estimation/)
Ali H. Sayed, Adaptive Filters, Wiley, NJ, 2008, ISBN 978-0-470-25388-5.
Ali H. Sayed, Fundamentals of Adaptive Filtering, Wiley, NJ, 2003, ISBN 0-471-46126-1.
Thomas Kailath, Ali H. Sayed, and Babak Hassibi, Linear Estimation, Prentice-Hall, NJ,
2000, ISBN 978-0-13-022464-4.
Babak Hassibi, Ali H. Sayed, and Thomas Kailath, Indefinite Quadratic Estimation and
Control: A Unified Approach to H2 and H Theories, Society for Industrial & Applied
Mathematics (SIAM), PA, 1999, ISBN 978-0-89871-411-1.
V.G.Voinov, M.S.Nikulin, "Unbiased estimators and their applications. Vol.1: Univariate
case", Kluwer Academic Publishers, 1993, ISBN 0-7923-2382-3.
V.G.Voinov, M.S.Nikulin, "Unbiased estimators and their applications. Vol.2: Multivariate
case", Kluwer Academic Publishers, 1996, ISBN 0-7923-3939-8.

External links
Media related to Estimation theory at Wikimedia Commons

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