Spectral theory of minimax estimation

DOI10.1007/BF00046987MaRDI QIDQ1914883zbMATH OpenFDO

Authors Vyacheslav Girko

Publication date 1 September 1996

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00046987

zbMATH Keywords

maximal eigenvalueminimax estimationperturbation formulassolutions of systems of linear equationsspectral \(S\)-estimates

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Minimax procedures in statistical decision theory (62C20) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Review text

Sometimes the task of estimating parameters of systems of equations can be reduced to finding the minimal value of the maximal eigenvalue on a definite set of numbers. Many works have been published where the tasks of estimating are considered. In these proceedings, the estimates of equations parameters are obtained by means of the spectral theory of linear operators. Therefore, such estimates are called spectral \(S\)-estimates. Here, the set of \(S_1\)-estimates of solutions of systems of linear equations with random parameters is found. It is proved that the maximal eigenvalue in the goodness criterion is not simple. For the purpose of finding estimates from the \(S_1\) set, the perturbation formulas for eigenvalues and formulas for distribution density of random matrices are used.

Recommendations

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Cited in

(11)

• The ADI minimax problem for complex spectra
• Spectral equations for minimax parameter estimators of linear systems
• Fuzzy prior information and minimax estimation in the linear regression model
• On the equivalence of spectral theory and Bayesian analysis in minimax linear estimation
• RAP-method (random perturbation method) for finding \(S\)-minimax control vectors and parameter estimates for some linear systems with random coefficients
• RAP-method (random perturbation method) for minimax \(G\)-filter
• Near Minimax Line Spectral Estimation
• scientific article; zbMATH DE number 4207917 (Why is no real title available?)
• Computation of minimum cross entropy spectral estimates: An unconstrained dual convex programming method
• Resource optimization and (min,+) spectral theory
• scientific article; zbMATH DE number 843992 (Why is no real title available?)

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