Robust maximum likelihood estimation in the linear model
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This paper addresses the problem of maximum likelihood estimation (MLE) in linear models affected by Gaussian noise, whose mean and covariance matrix are uncertain.NEWLINENEWLINENEWLINEThe proposed estimate maximizes a lower bound on the worst case and is computed solving a semidefinite optimization problem. The problem of linear robust estimation is also studied.
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Cited in
(19)- A probabilistic framework for problems with real structured uncertainty in systems and control
- A posteriori minimax estimation with likelihood constraints
- Robust mean-squared error estimation of multiple signals in linear systems affected by model and noise uncertainties
- Analysis of a nonsmooth optimization approach to robust estimation
- Robust maximum-likelihood estimation of multivariable dynamic systems
- MAXIMUM LIKELIHOOD ESTIMATION IN LINEAR MODELS WITH EQUI-CORRELATED RANDOM ERRORS
- Mean-Squared Error Estimation for Linear Systems with Block Circulant Uncertainty
- Robust Competitive Estimation With Signal and Noise Covariance Uncertainties
- A statistical minimax approach to optimizing linear models under a priori uncertainty conditions
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- Robust distributed maximum likelihood estimation with dependent quantized data
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- Constructing maximum likelihood estimates for statistically uncertain linear systems
- Output feedback guaranteed cost control for uncertain discrete-time systems using linear matrix inequalities
- Selected topics in robust convex optimization
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