Minimax estimation by probabilistic criterion

DOI10.1134/S0005117907030058MaRDI QIDQ2371601zbMATH OpenFDO

Authors K. V. Semenikhin, Alexei R. Pankov

Publication date 5 July 2007

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

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)

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

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• Optimal estimation and filtration under unknown covariances of random factors
• Parameter estimation with expected and residual-at-risk criteria
• 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
• scientific article; zbMATH DE number 4147369 (Why is no real title available?)
• A posteriori minimax estimation with likelihood constraints
• Blind Minimax Estimation
• Method for the determination of the minimax
• scientific article; zbMATH DE number 4080609 (Why is no real title available?)
• Minimax identification of a generalized uncertain-stochastic linear model
• scientific article; zbMATH DE number 3934195 (Why is no real title available?)
• Minimax nature of the linear estimates of the indefinite stochastic vector from the generalized probabilistic criteria
• scientific article; zbMATH DE number 1245637 (Why is no real title available?)
• A multivariate Chebyshev bound of the Selberg form
• Minimax estimation for singular linear multivariate models with mixed uncertainty
• Minimax estimation of random elements by the root-mean-square criterion
• A method to find the minimax of functionals dependent on probability measures

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