Minimax MSE-ratio estimation with signal covariance uncertainties

@article{Eldar2005MinimaxME,
  title={Minimax MSE-ratio estimation with signal covariance uncertainties},
  author={Yonina C. Eldar and Neri Merhav},
  journal={IEEE Transactions on Signal Processing},
  year={2005},
  volume={53},
  pages={1335-1347}
}
In continuation to an earlier work, we further consider the problem of robust estimation of a random vector (or signal), with an uncertain covariance matrix, that is observed through a known linear transformation and corrupted by additive noise with a known covariance matrix. While, in the earlier work, we developed and proposed a competitive minimax approach of minimizing the worst-case mean-squared error (MSE) difference regret criterion, here, we study, in the same spirit, the minimum worst… CONTINUE READING

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