Small noise asymptotics of the Bayesian estimator in nonidentifiable nonlinear regressions

Marc Joannides 1 François Le Gland 1
1 SIGMA2 - Signal, models, algorithms
IRISA - Institut de Recherche en Informatique et Systèmes Aléatoires, INRIA Rennes
Abstract : We study the asymptotic behaviour of the Bayesian estimator for a deterministic signal in additive Gaussian white noise, in the case where the set of minima of the Kullback--Leibler information is a submanifold of the parameter space. This problem includes as a special case the study of the asymptotic behaviour of the nonlinear filter, when the state equation is noise-free, and when the limiting deterministic system is non-observable. We present a practical example where this situation occurs. We give an explicit expression of the limit, as the noise intensity goes to zero, of the posterior probability distribution of the parameter, and we study the rate of convergence.
Type de document :
Communication dans un congrès
Proceedings of the 2nd Portuguese Conference on Automatic Control, Porto 1996, Sep 1996, Porto, Portugal. pp.257-261, 1996
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https://hal.inria.fr/hal-00912061
Contributeur : Francois Le Gland <>
Soumis le : vendredi 20 décembre 2013 - 17:58:54
Dernière modification le : jeudi 11 janvier 2018 - 06:20:10

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  • HAL Id : hal-00912061, version 1

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Marc Joannides, François Le Gland. Small noise asymptotics of the Bayesian estimator in nonidentifiable nonlinear regressions. Proceedings of the 2nd Portuguese Conference on Automatic Control, Porto 1996, Sep 1996, Porto, Portugal. pp.257-261, 1996. 〈hal-00912061〉

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