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

DOI10.1016/J.JFRANKLIN.2014.03.012zbMATH Open1290.93176arXiv1303.4956OpenAlexW2964322518MaRDI QIDQ2017261FDOQ2017261

Tomasz Piotrowski, Isao Yamada

Publication date: 25 June 2014

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

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.

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

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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)

Cites Work

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Cited In (3)

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

Uses Software

• ICALAB

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