Minimax estimation in generalized linear uncertain-stochastic model
Alexei R. Pankov, Konstantin V. Semenikhin
Abstract
Alexei R. Pankov, Konstantin V. Semenikhin
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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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