Performance of the stochastic MV-PURE estimator in highly noisy settings

DOI10.1016/J.JFRANKLIN.2014.03.012MaRDI QIDQ2017261zbMATH OpenOpenAlexFDO

Authors Tomasz Piotrowski, Isao Yamada

Publication date 25 June 2014

Published in Journal of the Franklin Institute (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.4956

zbMATH Keywords

additive noisemean-square-error (MSE)stochastic minimum-variance pseudo-unbiased reduced-rank estimator

Mathematics Subject Classification ID

System structure simplification (93B11) Estimation and detection in stochastic control theory (93E10)

Abstract: The stochastic MV-PURE estimator has been developed to provide linear estimation robust to ill-conditioning, high noise levels, and imperfections in model knowledge. In this paper, we investigate the theoretical performance of the stochastic MV-PURE estimator under varying level of additive noise. More precisely, we prove that the mean-square-error (MSE) of this estimator in the low signal-to-noise (SNR) region is much smaller than that obtained with its full-rank version, the minimum-variance distortionless estimator, and that the gap in performance is the larger the higher the noise level. These results shed light on the excellent performance of the stochastic MV-PURE estimator in highly noisy settings obtained in simulations so far. We extend here previously conducted numerical simulations to demonstrate a new insight provided by results of this paper in practical applications.

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Cited in

(3)

• Optimal modeling of nonlinear systems: method of variable injections
• Reduced-rank estimation for ill-conditioned stochastic linear model with high signal-to-noise ratio
• Fast random vector transforms in terms of pseudo-inverse within the Wiener filtering paradigm

Describes a project that uses

Uses Software

• ICALAB

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