Title :
A lower bound for the Mismatched Maximum Likelihood estimator
Author :
Fortunati, Stefano ; Greco, Maria S. ; Gini, Fulvio
Author_Institution :
Dept. of Inf. Eng., Univ. of Pisa, Pisa, Italy
Abstract :
A lower bound on Mean Square Error (MSE) of the estimate of a real deterministic parameter vector under misspecified model is proposed in this paper. In particular, a lower bound on the MSE of the Mismatched Maximum Likelihood (MML) estimator is derived in closed form and its relation with the Huber limit is investigated. Two simple illustrative examples are provided. Finally, the proposed framework is applied to the estimation of the scatter matrix in the Complex Elliptically Symmetric (CES) distribution family.
Keywords :
maximum likelihood estimation; mean square error methods; CES; Huber limit; MML estimator; MSE; complex elliptically symmetric; deterministic parameter vector; mean square error; mismatched maximum likelihood estimator; scatter matrix; Covariance matrices; Data models; Joints; Maximum likelihood estimation; Probability density function; Symmetric matrices; CRLB; Huber limit; Lower bound; ML estimator; misspecified model; parameter estimation;
Conference_Titel :
Radar Conference (RadarCon), 2015 IEEE
Conference_Location :
Arlington, VA
Print_ISBN :
978-1-4799-8231-8
DOI :
10.1109/RADAR.2015.7130992
