In linear regression with heteroscedastic errors, the Generalized Least Squares (GLS) estimator is optimal, i.e., it is the Best Linear Unbiased Estimator (BLUE). The Ordinary Least Squares (OLS) estimator is suboptimal but still valid, i.e., unbiased and consistent. Halbert White, in his seminal paper (Econometrica, 1980) used the OLS residuals in order to obtain an estimate of the standard er...

In this paper, we consider a sampling and remote estimation problem, where samples of a Wiener process are forwarded to a remote estimator via a channel with queueing and random delay. The estimator reconstructs an estimate of the realtime signal value from causally received samples. We obtain the jointly optimal sampling and estimation strategy that minimizes the mean-square estimation error s...

Statistical inference for discrete time observations of an affine stochastic delay differential equation is considered. The main focus is on maximum pseudolikelihood estimators, which are easy to calculate in practice. Also a more general class of prediction-based estimating functions is investigated. In particular, the optimal prediction-based estimating function and the asymptotic properties ...

This paper first proposes a computationally efficient, pilot-aided linear minimum mean square error (MMSE) batch channel estimation algorithm for OFDM systems in unknown wireless fading channels. The proposed approach employs a convenient representation of the discretemultipath fading channel based on the Karhunen-Loeve (KL) orthogonal expansion and findsMMSE estimates of the uncorrelated KL se...

In this paper we propose an estimator of the entropy of a continuous random variable. The estimator is obtained by modifying the estimator proposed by Vasicek (1976). Consistency of estimator is proved, and comparisons are made with Vasicek’s estimator (1976), van Es’s estimator (1992), Ebrahimi et al.’s estimator (1994) and Correa’s estimator (1995). The results indicate that the proposed esti...