Minimax MSE estimation of deterministic parameters with noise covariance uncertainties

DOI10.1109/TSP.2005.861086MaRDI QIDQ4587632zbMATHFDO

Authors Y. C. Eldar

Publication date 30 October 2017

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(7)

• Performance of the stochastic MV-PURE estimator in highly noisy settings
• Minimax robust optimal estimation fusion for distributed multisensor systems with a relative entropy uncertainty
• Methods for minimax estimation under elementwise covariance uncertainty
• Estimation in Gaussian Noise: Properties of the Minimum Mean-Square Error
• LMI-based minimax estimation and filtering under unknown covariances
• Robust weighted fusion Kalman estimators for systems with uncertain noise variances, multiplicative noises, missing measurements, packets dropouts and two‐step random measurement delays
• Robust mean-squared error estimation of multiple signals in linear systems affected by model and noise uncertainties

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