This article is cited in
2 papers
On estimation and detection of infinite-variable function
Yu. I. Ingstera,
I. A. Suslinab a Saint-Petersburg State Electrotechnical University
b St. Petersburg State University of Information Technologies, Mechanics and Optics
Abstract:
We observe an unknown infinite-variable function
$f=f(t)$,
$t=(t_1,\ldots,t_n,\ldots)\in[0,1]^\infty$, in the white Gaussian noise of a level
$\varepsilon>0$. We suppose that, in each variable, there exist 1-periodical
$\sigma$-smooth extensions of functions
$f(t)$ on
$\mathbb R^\infty$. Taking a quantity
$\sigma>0$ and a positive sequence
$\mathbf a=\{a_k\}$, we consider the set
$\mathcal F_{\sigma,\mathbf a}$ that consists of functions
$f$ such that $\sum_{k=1}^\infty a_k^2\|\partial^\sigma f/\partial t_k^{\sigma}\|_2^2\le 1$. We consider the cases
$a_k=k^\alpha$ and
$a_k=\exp(\lambda k)$,
$\alpha>0$,
$\lambda>0$. We want to estimate a function
$f\in\mathcal F_{\sigma,\mathbf a}$ or to test the null hypothesis
$H_0$:
$f=0$ against alternatives $f\in\mathcal F_{\sigma,\mathbf a}(r_\varepsilon)$ where the set
$\mathcal F_{\sigma,\mathbf a}(r)$ consists of functions of
$f\in \mathcal F_{\sigma,\mathbf a}$ such that
$\|f\|_2\ge r$.
In the estimation problem, we obtain the asymptotics (as
$\varepsilon\to 0$) of the minimax quadratic risk. In the detection problem, we study the sharp asymptotics of minimax separation rates
$r_\varepsilon^*$
that provide distiguishability in the problems.
UDC:
519.21 Received: 10.11.2005