Iacus, Stefano Maria Efficient estimation of dynamical systems. (English) Zbl 1079.91542 Stud. Nonlinear Dyn. Econom. 4, No. 4, Article 3, 213-226 (2001). Summary: The aim of this article is to show a simple way to construct asymptotic minimax lower bounds for risks based on different types of quadratic loss functions in semiparametric inference problems. For the sake of clarity, we consider the simple case of the state estimation of a dynamical system with small noise. The proofs are based on the van Trees inequality, namely, an integral-type Cramér-Rao inequality. Cited in 1 Document MSC: 91B30 Risk theory, insurance (MSC2010) Keywords:asymptotic efficiency; diffusion process; dynamical systems; integrated mean square error PDFBibTeX XMLCite \textit{S. M. Iacus}, Stud. Nonlinear Dyn. Econom. 4, No. 4, Article 3, 213--226 (2001; Zbl 1079.91542) Full Text: DOI