The Method of Risk Envelope in Estimation of Linear Functionals

The Method of Risk Envelope in Estimation of Linear Functionals The problem of estimating a linear functional in a linear Gaussian model is considered. For the estimation, the class of projection estimators is used. The problem is to choose the optimal estimate from this class on the basis of observations. The solution of this problem is based on the principle of risk envelope minimization. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Problems of Information Transmission Springer Journals

The Method of Risk Envelope in Estimation of Linear Functionals

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Publisher
Kluwer Academic Publishers-Plenum Publishers
Copyright
Copyright © 2004 by MAIK “Nauka/Interperiodica”
Subject
Engineering; Communications Engineering, Networks; Electrical Engineering; Information Storage and Retrieval; Systems Theory, Control
ISSN
0032-9460
eISSN
1608-3253
D.O.I.
10.1023/B:PRIT.0000024880.14839.ff
Publisher site
See Article on Publisher Site

Abstract

The problem of estimating a linear functional in a linear Gaussian model is considered. For the estimation, the class of projection estimators is used. The problem is to choose the optimal estimate from this class on the basis of observations. The solution of this problem is based on the principle of risk envelope minimization.

Journal

Problems of Information TransmissionSpringer Journals

Published: Oct 20, 2004

References

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