Optimal Estimation

2009 ISIT Shannon Lecture
Optimal Estimation
Professor Jorma Rissanen
University of Tampere


Abstract: In this talk we give a common theory of estimation of real-valued parameters, their number, and even of their structure. The same theory includes also optimal estimation of intervals. Although no “true” data generating distribution is assumed the theory may be viewed as an extension and generalization of the customary theory of estimation of real-valued parameters due to Fisher, Cramer, Rao, and others.

The central concept is estimation capacity, analogous to but different from Shannon’s channel capacity, which defines the estimator. It also defines a criterion for computing the estimates which amounts to an application of complete minimum description length principle. Theorems for mathematically defined optimality properties are given. No comparable theory - we think - is possible without basic information and coding theory.

Jorma Rissanen was born October 20, 1932 in Finland. He received the Licentiate and the Doctor of Technology degrees in control theory and mathematics from the Technical University of Helsinki in 1960 and 1965, respectively. He is currently a fellow of Helsinki Institute for Information Technology. He has published over 100 papers and the Springer Verlag bookInformation and Complexity in Statistical Modeling. He is the recipient of the IEEE 1993 Richard W. Hamming medal “For fundamental contributions to information theory, statistical inference, control theory, and the theory of complexity”; in 1998 an IEEE Information Theory Society Golden Jubilee Award for Technological Innovation for the invention of arithmetic coding; the 2007 Kolmogorov medal from CLRC in University of London; and the 2009 Shannon award from the IEEE Information Theory Society. He received Honorary Doctorate from the Technical University of Tampere, Finland, in 1992. He is a foreign member of Finland’s Academy of Sciences and Letters. He is a Visiting Professor in the department of Computer Science of University of London, Royal Holloway. He is an Associate Editor of IMA Journal of Mathematical Control and Information. He is also an IEEE Fellow.