2002•Unpublished venueRequires access

Minimax estimation in generalized linear uncertain-stochastic model

Alexei R. Pankov, Konstantin V. Semenikhin

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Abstract

The problem of minimax-optimal parameter estimation in a multidimensional linear uncertain-stochastic regression model is considered. The specific character of the model under consideration follows from the assumption that the model parameters can be indeterminate (both bounded and unbounded) and stochastic with partially known characteristics. The complete solution to the estimation problem is given, main corollaries are considered.

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What this paper is about

The problem of minimax-optimal parameter estimation in a multidimensional linear uncertain-stochastic regression model is considered. The specific character of the model under consideration follows from the assumption that the model parameters can be indeterminate (both bounded and unbounded) and stochastic with partially known characteristics. The complete solution to the estimation problem is given, main corollaries are considered.

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Available abstract

The problem of minimax-optimal parameter estimation in a multidimensional linear uncertain-stochastic regression model is considered. The specific character of the model under consideration follows from the assumption that the model parameters can be indeterminate (both bounded and unbounded) and stochastic with partially known characteristics. The complete solution to the estimation problem is given, main corollaries are considered.

Key concepts: Minimax, Bounded function, Mathematics, Mathematical optimization, Character (mathematics), Estimation theory, Applied mathematics, Estimation

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