Some constructive results in guaranteed parameter estimation

MaRDI QIDQ1057017zbMATH OpenFDO

Authors V. L. Gurin

Publication date 1984

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

zbMATH Keywords

C-robust parameter estimationconstructive resultscorrelation- robust estimationExistence theoremsincomplete information about noise correlationlinear transformations of the datalinear unbiased estimatelocation parameterminimax-optimal estimatessaddle point

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Review text

The problem considered in this paper is the correlation-robust estimation of the parameters of linear regression models. Exact knowledge of the noise correlation matrix is not assumed. It is only assumed that some lower and upper bounds on the elements of this matrix are known. The problem treated is that of determining the linear unbiased estimate of regression parameters, which is optimal in a min-max sense. The max operation is on the class of covariance matrices satisfying the given lower and upper limitations; the min operation is on the class of linear transformations of the data, which produce unbiased estimates. Existence theorems as well as constructive results (for the particular case of location parameter estimation) are presented.

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(7)

• Guaranteeing parameter estimation with anomalous measurement errors
• Confidence analysis of linear unbiased estimates under uncertain unimodal noise distributions
• Guaranteed non-linear estimation using constraint propagation on sets
• Traditional Parameter Estimation Versus Estimation of Guaranteed Parameter Sets
• scientific article; zbMATH DE number 6258595 (Why is no real title available?)
• Linear regression with constraints on correlation coefficients
• Optimality of linear algorithms in ``worst correlation problem

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