Generic Variance Bounds on Estimation and Prediction Errors in Time Series Analysis: An Entropy Perspective.
Song FangMikael SkoglundKarl Henrik JohanssonHideaki IshiiQuanyan ZhuPublished in: ITW (2019)
Keyphrases
- variance reduction
- viewpoint
- upper bound
- lower bound
- shannon entropy
- mutual information
- error bounds
- information theory
- estimation error
- importance sampling
- fuzzy entropy
- standard deviation
- parameter estimation
- upper and lower bounds
- accurate estimation
- estimation process
- domain specific
- machine learning
- minimum variance
- tight bounds
- information entropy
- covariance matrix
- maximum likelihood