Bayesian signal estimation

Mukherjee, Kanchan and Majumdar, Suman (1996) Bayesian signal estimation. Statistics and Decisions, 14. pp. 275-293.

Abstract

The problem of Bayesian estimation of a signal contaminated by white noise is investigated. Restricting the unknown signal to a compact subset of L2([0, 1]), the existence of a unique Bayes estimator for the squared-error loss and its robustness with respect to the prior used are established; for sufficiently diffuse priors, the Bayes estimator is shown to be uniformly L1-consistent.