Minimax estimation by probabilistic criterion

DOI10.1134/S0005117907030058zbMATH Open1125.93064MaRDI QIDQ2371601FDOQ2371601

K. V. Semenikhin, Alexei R. Pankov

Publication date: 5 July 2007

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

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zbMATH Keywords

uncertain parametersrandom quantitiesmultidimensional linear regression model

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Stochastic systems in control theory (general) (93E03) Estimation and detection in stochastic control theory (93E10)

Cites Work

• Robust techniques for signal processing: A survey
• Robust Mean-Covariance Solutions for Stochastic Optimization
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Minimax identification of a generalized uncertain-stochastic linear model
• The parametric identification methods for many-dimensional linear models in the presence of a priori uncertainty
• On minimax robustness: A general approach and applications
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• Minimax estimation for singular linear multivariate models with mixed uncertainty
• Use of the Kalman Filter for Inference in State-Space Models With Unknown Noise Distributions
• Minimax estimation in singular uncertain stochastic models
• The optimality of linear estimation algorithms in minimax identification

Cited In (20)

• Minimax linear estimation with the probability criterion under unimodal noise and bounded parameters
• Title not available (Why is that?)
• Optimal estimation and filtration under unknown covariances of random factors
• Distributionally robust optimization by probability criterion for estimating a bounded signal
• Confidence analysis of linear unbiased estimates under uncertain unimodal noise distributions
• Design of Pareto-optimal linear quadratic estimates, filters and controllers
• The conditionally minimax nonlinear filtering method and modern approaches to state estimation in nonlinear stochastic systems
• Two-sided probability bound for a symmetric unimodal random variable
• Title not available (Why is that?)
• Blind Minimax Estimation
• Method for the determination of the minimax
• Title not available (Why is that?)
• Title not available (Why is that?)
• Minimax identification of a generalized uncertain-stochastic linear model
• Minimax nature of the linear estimates of the indefinite stochastic vector from the generalized probabilistic criteria
• Title not available (Why is that?)
• A multivariate Chebyshev bound of the Selberg form
• Minimax estimation of random elements by the root-mean-square criterion
• A method to find the minimax of functionals dependent on probability measures
• Minimax estimation and the least squares method

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