Optimal signal estimation using cross-validation
| Author(s) : | Robert D. Nowak, |
| Publisher : | N/A |
| Publication Date : | 1997 |
| ISSN : | N/A |
| Abstract : | Abstract---This letter develops an optimal, nonlinear estimator of a deterministic signal in noise. The methods of penalized least squares and cross validation balance the bias-variance tradeoff and lead to a closed form expression for the estimator. The estimator is simultaneously optimal in a "small-sample, " predictive sum of squares sense and asymptotically optimal in the mean square sense., |