By Topic

Minimax estimation of deterministic parameters in linear models with a random model matrix

Sign In

Cookies must be enabled to login.After enabling cookies , please use refresh or reload or ctrl+f5 on the browser for the login options.

Formats Non-Member Member
$31 $13
Learn how you can qualify for the best price for this item!
Become an IEEE Member or Subscribe to
IEEE Xplore for exclusive pricing!
close button

puzzle piece

IEEE membership options for an individual and IEEE Xplore subscriptions for an organization offer the most affordable access to essential journal articles, conference papers, standards, eBooks, and eLearning courses.

Learn more about:

IEEE membership

IEEE Xplore subscriptions

1 Author(s)
Eldar, Y.C. ; Dept. of Electr. Eng., Technion-Israel Inst. of Technol., Haifa, Israel

We consider the problem of estimating an unknown deterministic parameter vector in a linear model with a random model matrix, with known second-order statistics. We first seek the linear estimator that minimizes the worst-case mean-squared error (MSE) across all parameter vectors whose (possibly weighted) norm is bounded above. We show that the minimax MSE estimator can be found by solving a semidefinite programming problem and develop necessary and sufficient optimality conditions on the minimax MSE estimator. Using these conditions, we derive closed-form expressions for the minimax MSE estimator in some special cases. We then demonstrate, through examples, that the minimax MSE estimator can improve the performance over both a Baysian approach and a least-squares method. We then consider the case in which the norm of the parameter vector is also bounded below. Since the minimax MSE approach cannot account for a nonzero lower bound, we consider, in this case, a minimax regret method in which we seek the estimator that minimizes the worst-case difference between the MSE attainable using a linear estimator that does not know the parameter vector, and the optimal MSE attained using a linear estimator that knows the parameter vector. For analytical tractability, we restrict our attention to the scalar case and develop a closed-form expression for the minimax regret estimator.

Published in:

Signal Processing, IEEE Transactions on  (Volume:54 ,  Issue: 2 )