Data-Driven Parameter Estimation

01/29/2022

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by   George V. Moustakides, et al.

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Optimum parameter estimation methods require knowledge of a parametric probability density that statistically describes the available observations. In this work we examine Bayesian and non-Bayesian parameter estimation problems under a data-driven formulation where the necessary parametric probability density is replaced by available data. We present various data-driven versions that either result in neural network approximations of the optimum estimators or in well defined optimization problems that can be solved numerically. In particular, for the data-driven equivalent of non-Bayesian estimation we end up with optimization problems similar to the ones encountered for the design of generative networks.