Some constructive results in guaranteed parameter estimation
type: Item
instance of: scholarly article
title: Some constructive results in guaranteed parameter estimation
zbMATH Open document ID: 0562.62056
author: V. L. Gurin
published in: Automation and Remote Control
publication date: 1984-01-01T00:00:00Z
review text: The problem considered in this paper is the correlation-robust estimation of the parameters of linear regression models. Exact knowledge of the noise correlation matrix is not assumed. It is only assumed that some lower and upper bounds on the elements of this matrix are known. The problem treated is that of determining the linear unbiased estimate of regression parameters, which is optimal in a min-max sense. The max operation is on the class of covariance matrices satisfying the given lower and upper limitations; the min operation is on the class of linear transformations of the data, which produce unbiased estimates. Existence theorems as well as constructive results (for the particular case of location parameter estimation) are presented.
reviewed by: Petre Stoica
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F35
zbMATH DE Number: 3896123
zbMATH Keywords: incomplete information about noise correlation
zbMATH Keywords: minimax-optimal estimates
zbMATH Keywords: saddle point
zbMATH Keywords: C-robust parameter estimation
zbMATH Keywords: correlation- robust estimation
zbMATH Keywords: linear unbiased estimate
zbMATH Keywords: linear transformations of the data
zbMATH Keywords: Existence theorems
zbMATH Keywords: constructive results
zbMATH Keywords: location parameter
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 3896123