Title :
Regularized estimation procedures for statistically indeterminate singular linear models
Author :
Pankov, Alexei R. ; Semenikhin, Konstantin V.
Author_Institution :
Moscow Aviation Inst., Russia
Abstract :
The problem of minimax estimation for the linear multivariate regression model with uncertain second-order statistics is considered. The framework of dual optimization applied recently to the regular models is developed for the singular case by means of the regularization procedure. The results obtained are illustrated by an example of a singular model.
Keywords :
minimax techniques; optimisation; parameter estimation; linear multivariate regression model; minimax estimation; regularized estimation procedures; singular model; statistically indeterminate singular linear models; uncertain second-order statistics; Electronic mail; Filtering; Linear regression; Minimax techniques; Optimization methods; State estimation; Statistics; Sufficient conditions; Symmetric matrices;
Conference_Titel :
Decision and Control, 2002, Proceedings of the 41st IEEE Conference on
Print_ISBN :
0-7803-7516-5
DOI :
10.1109/CDC.2002.1184234
