After an overview of known results concerning estimation of linear and nonlinear functionals of the density for i.i.d. observations and for functionals of a signal observed in the White Gaussian Noise (WGN) with small intensity, we consider similar problems for observation of a Poisson random process. Asymptotically efficient estimates of one time Fréchet differentiable functionals are proposed. Bibliography: 10 titles.
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Published in Zapiski Nauchnykh Seminarov POMI, Vol. 363, 2009, pp. 126–138.
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Khasminskii, R. Estimation of nonlinear functionals revisited. J Math Sci 163, 275–282 (2009). https://doi.org/10.1007/s10958-009-9672-z
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DOI: https://doi.org/10.1007/s10958-009-9672-z