Minimax MSE-ratio estimation with signal covariance uncertainties
نویسندگان
چکیده
منابع مشابه
Robust Linear Estimation with Covariance Uncertainties
We consider the problem of estimating a random vector x, with covariance uncertainties, that is observed through a known linear transformation H and corrupted by additive noise. We first develop the linear estimator that minimizes the worst-case meansquared error (MSE) across all possible covariance matrices. Although the minimax approach has enjoyed widespread use in the design of robust metho...
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ژورنال
عنوان ژورنال: IEEE Transactions on Signal Processing
سال: 2005
ISSN: 1053-587X
DOI: 10.1109/tsp.2005.843701