A posteriori minimax estimation with likelihood constraints

DOI10.1134/S0005117912090044zbMath1258.93103OpenAlexW2054982049MaRDI QIDQ1941907

Andrey V. Borisov

Publication date: 22 March 2013

Published in: Automation and Remote Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0005117912090044

zbMATH Keywords

parameter estimationloss functionconditional mean squared erroradditional likelihood constraintsfinite-dimensional dual optimization problemuncertain stochastic regression

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Optimal stochastic control (93E20)

Cites Work

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• Minimax optimal control of stochastic uncertain systems with relative entropy constraints
• Robust maximum likelihood estimation in the linear model

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