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On ordered normally distributed vector parameter estimates

Chaumette, Eric and Vincent, François and Besson, Olivier On ordered normally distributed vector parameter estimates. (2015) Signal Processing, 115. 20-26. ISSN 0165-1684

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Official URL: http://dx.doi.org/10.1016/j.sigpro.2015.02.026

Abstract

The ordered values of a sample of observations are called the order statistics of the sample and are among the most important functions of a set of random variables in probability and statistics. However the study of ordered estimates seems to have been overlooked in maximum-likelihood estimation. Therefore it is the aim of this communication to give an insight into the relevance of order statistics in maximum-likelihood estimation by providing a second-order statistical prediction of ordered normally distributed estimates. Indeed, this second-order statistical prediction allows to refine the asymptotic performance analysis of the mean square error (MSE) of maximum likelihood estimators (MLEs) of a subset of the parameters. A closer look to the bivariate case highlights the possible impact of estimates ordering on MSE, impact which is not negligible in (very) high resolution scenarios.

Item Type:Article
HAL Id:hal-01414626
Audience (journal):International peer-reviewed journal
Uncontrolled Keywords:
Institution:Université de Toulouse > Institut Supérieur de l'Aéronautique et de l'Espace - ISAE-SUPAERO (FRANCE)
Laboratory name:
Statistics:download
Deposited By: Francois VINCENT
Deposited On:12 Dec 2016 13:35

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