Robust maximum likelihood estimation in the linear model (Q5932273)
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scientific article; zbMATH DE number 1596014
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust maximum likelihood estimation in the linear model |
scientific article; zbMATH DE number 1596014 |
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Robust maximum likelihood estimation in the linear model (English)
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7 May 2001
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least squares
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maximum likelihood estimation
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semidefinite optimization
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linear robust estimation
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This paper addresses the problem of maximum likelihood estimation (MLE) in linear models affected by Gaussian noise, whose mean and covariance matrix are uncertain.NEWLINENEWLINENEWLINEThe proposed estimate maximizes a lower bound on the worst case and is computed solving a semidefinite optimization problem. The problem of linear robust estimation is also studied.
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