Blind Minimax Estimation

DOI10.1109/TIT.2007.903118zbMATH Open1290.94016arXiv0709.3920MaRDI QIDQ3548256FDOQ3548256

Authors: Zvika Ben-Haim, Y. C. Eldar 

Publication date: 21 December 2008

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Abstract: We consider the linear regression problem of estimating an unknown, deterministic parameter vector based on measurements corrupted by colored Gaussian noise. We present and analyze blind minimax estimators (BMEs), which consist of a bounded parameter set minimax estimator, whose parameter set is itself estimated from measurements. Thus, one does not require any prior assumption or knowledge, and the proposed estimator can be applied to any linear regression problem. We demonstrate analytically that the BMEs strictly dominate the least-squares estimator, i.e., they achieve lower mean-squared error for any value of the parameter vector. Both Stein's estimator and its positive-part correction can be derived within the blind minimax framework. Furthermore, our approach can be readily extended to a wider class of estimation problems than Stein's estimator, which is defined only for white noise and non-transformed measurements. We show through simulations that the BMEs generally outperform previous extensions of Stein's technique.

Full work available at URL: https://arxiv.org/abs/0709.3920

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Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Minimax procedures in statistical decision theory (62C20) Detection theory in information and communication theory (94A13) Minimax problems in mathematical programming (90C47) Estimation and detection in stochastic control theory (93E10)

Cited In (5)

• The projected GSURE for automatic parameter tuning in iterative shrinkage methods
• Blind sequence estimation
• Least squares estimation without priors or supervision
• Mean-Squared Error Estimation for Linear Systems with Block Circulant Uncertainty
• A pre-test like estimator dominating the least-squares method

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