Minimum Variance Estimation with Uncertain Statistical Model

@inproceedings{GhaouiyFebruary2001MinimumVE,
  title={Minimum Variance Estimation with Uncertain Statistical Model},
  author={Laurent El GhaouiyFebruary},
  year={2001}
}
  • Laurent El GhaouiyFebruary
  • Published 2001
In this paper, we consider the problem of parameter estimation in a linear stochastic model, where the observations are aaected by noise with uncertain variance. In particular, we discuss a linear estimator which minimizes a worst-case measure of the a-posteriori covariance of the parameters. The estimate is eeciently computed by means of convex programming… CONTINUE READING