MMSE estimation in a linear signal model with ellipsoidal constraints

Authors:
Stefan Uhlich; Bin Yang
Affiliations:
Chair of System Theory and Signal Processing, Universität Stuttgart, Germany;Chair of System Theory and Signal Processing, Universität Stuttgart, Germany
Venue:
ICASSP '09 Proceedings of the 2009 IEEE International Conference on Acoustics, Speech and Signal Processing
Year:
2009

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Efficient recursive estimators for a linear, time-varying Gaussian model with general constraints

IEEE Transactions on Signal Processing

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Abstract

The estimation of an unknown parameter vector in a Gaussian linear model is studied in this paper. Two different cases are analyzed: the parameter vector is assumed to lie either in or on a given ellipsoid. The best estimator in terms of the mean squared error is derived. The performance of this estimator is analyzed and compared with the ordinary least squares, the constrained least squares and the linear minimax approach.